【作者】 黄云洲；

【导师】 赵喜仓；

【作者基本信息】 江苏大学 ， 统计学， 2005， 硕士

【摘要】 我国当前正处于以证券投资基金为代表的机构投资者快速发展阶段,基金对于股票市场的影响力日益显现,证券投资基金在分流和转化储蓄资金,改善投资者结构的同时,其投资行为也对股票市场产生了一定的负面影响,加剧了市场的投机气氛,影响了股票市场的稳定性。这严重损害了基金作为机构投资者的形象,影响了证券投资基金在我国证券市场的地位和作用,也限制了投资基金自身的发展。如何正确认识证券投资基金的投资行为及其对市场产生的影响,对促进证券投资基金和证券市场的完善发展是非常必要的,具有重要的理论研究和实际应用价值。 本研究以统计学、数量经济学、金融学等学科理论为指导,以证券投资基金对股市影响为主线,在正确认识和分析基金投资行为的基础上,采用定性分析和定量分析相结合的方法,从大盘、行业和个股三个不同的角度,全面系统地检验了我国证券投资基金对我国股票市场的波动性影响。研究认为,我国证券投资基金存在较高的股票集中度、行业集中度、较为严重的羊群行为和较高的股票周转率,理论上存在对股票市场稳定性产生负面影响的可能;实证分析也验证了我国证券投资基金未能有效发挥稳定市场的功能,具体表现为基金持股比例和大盘、行业、个股波动率正相关,基金持股比例的增加加剧了大盘、行业及个股的波动,其原因主要在于我国证券市场规模较小和投资品种单一、我国上市公司的质量偏低以及缺少对基金投资行为的有效监控等。对此,本文提出要提高我国证券投资基金市场稳定性功能的发挥,需加快证券市场发展,加快各项立法工作和制度建设;提高上市公司质量,完善市场退出机制;同时还需进一步发展、完善证券投资基金,加强对基金投资行为的监督。在给证券投资基金的规范运作创造宽松的市场环境的同时,加强对基金交易活动和投资组合的监控,以更好的发挥基金市场稳定器的功能。更多还原

【Abstract】 The influence of security investment funds imposing on the stock market becomes increasingly obvious. While transforming saving capital and ameliorating investor structure, the behavior of investment funds has made certain side effect on stock market, which adds the atmosphere of speculation in stock market and makes stock market fluctuate. It impairs the status and function of security investment funds in security market, and also limits the development of investment funds. How to understand the behavior and influence of security investment funds, which is essential to the development of funds and security market, and has important theory research and application value.Under the direction of statistics、 quantity economics and finance, led by the influence of investment funds on stock market, based on analyzing investment funds’ behavior accurately, this paper, which uses the method of qualitative analysis and quantitative analysis, tests the influence of security investment funds’ behavior on volatility in Chinese stock market from the index、 industry and stock market respectively. It concluded that there is high stock and industry concentration , serious herding behavior and high stock velocity among investment funds. They possibly make side effect on volatility in stock market. The empirical analysis also validates that security investment funds also don’t fulfill the function of stabilizing the stock market. It embodies that stock share holding of funds is positively relevant to volatility in index、 industry 、 and stock. The increase of stock share holding of funds adds the volatility in index 、 industry、 and stock. The cause lies in small volume of security market and singularity of investment varieties, the poor quality of listed company and scarcity in effect supervision, and so on. So, in order to improve the role of investment funds in stabilizing stock market, this paper puts forward the following countermeasures: develop the security market and quicken lawmaking and system building; improve quality of listed companies and perfect withdraw mechanism; develop investment funds more and strengthen supervision on investment funds’ behavior. In order to better fulfill the function of stabilizing the stock market, while creating loose environment for security investment funds, we should strengthen supervision on deal and investment combination of investment funds.更多还原