【作者】 周宇；

【导师】 汪炜；

【作者基本信息】 浙江大学 ， 金融学， 2008， 硕士

【摘要】 中国资本市场处于快速的发展时期,这十多年来,尤其是在股权分置改革以后,证券市场的体制、制度、文化、法律、上市公司质量、投资者素质都得到了快速的发展,市场、监管机构、投资者都逐步走向成熟,与国际接轨。但是目前中国证券市场仍存在诸多问题,包括市场波动幅度过大、资产定价能力不强、投资者羊群效应显著等。众多的学者和投资界人士也在思考和讨论“我们需要怎样的投资理念”,并在中国证券报设立专栏讨论。在此背景下,研究投资理念与投资者投资行为及证券市场的运行特征的关系问题具有重要的现实意义。该课题研究为如何在我国证券市场中树立正确的投资理念,促进投资理念的研究和创新,推动中国证券市场健康、平稳、可持续发展提供理论依据；同时也为市场各级投资者的投资决策提供帮助。回顾众多学者和证券工作者的研究成果后发现,目前对投资理念与证券市场运行特征的相互关系研究甚少,尤其是通过实证手段对主流投资理念进行量化分析的文献更是鲜有。而此文结合实证分析和规律分析的方法,对不同投资理念时期证券市场特征及投资者投资战略进行研究,从而揭示证券市场运行特征与投资理念更替的相互作用及其原因。此文共分七个部分：在导言中首先阐述了投资理念和主流投资理念的定义和内涵,第二部分介绍了投资理念的发展历程,并对经典投资理念进行了明确分类,从哲学观点、方法论及其操作偏重等方面作了介绍；第三部分对美国证券市场主流投资理念的演进作了考察和分析；第四部分对中国证券市场主流投资理念的发展与演变进行了考察和分析。此节笔者采用尼尔寻找主流投资理念的方法,将1999年5月至2007年6月期间的中国证券市场划分为单一成长型投资理念盛行期、多元成长型投资理念盛行期、无投资理念期、单一价值型投资理念盛行期等六个阶段；第五部分利用实证分析的方法对不同投资理念下的市场波动性和流动性特征进行了分析；第六部分利用基金业绩评价的方法对不同投资理念下投资者行为特征包括择时能力和择股能力进行了分析；最后一部分是全文的结论。此文分析表明：(1)不同的主流投资理念盛行时期,投资者的投资能力和投资风格以及证券市场运行特征发生显著的差异。(2)在无投资理念时期,证券市场的情况变得最坏。整体表现出投资者择股能力和择时能力都很低。证券市场系统性风险增大,市场流动性低和波动性大的特点。(3)在成长型投资理念时期,投资者将更偏向时机抉择的投资战略。证券市场整体出现波动性强和流动性强的特点。(4)在价值型投资理念时期,投资者将更偏向于股票抉择的投资战略。证券市场整体出现波动性较低、流动性较强的特点。(5)多元的投资理念盛行期,证券市场表现出乎意料的平稳和健康。这一阶段市场波动性最低、市场的流动性最高。此文进而从价值型和成长型投资理念自身特点和投资者结构对主流投资理念及证券市场运行特征的影响这两个方面分析解释了上述现象。此文并针对价值型投资理念还是成长型投资理念更适合我国证券市场发展的争论提出了鲜明的观点：无论是价值型投资理念还是成长型投资理念都是从不同的角度反映了证券市场局部的基本规律和基本特征。单一的价值型投资理念和成长型投资理念都会增强的市场系统性风险、降低市场活力。而多元的投资理念将促进市场降低市场系统性风险,提高市场活力和流动性。更多还原

【Abstract】 The rapid development in Chinese capital market in the past 10-plus years, especially after equity division reform, witnesses a fast development in terms of the framework, system, culture, and law of securities market, the quality of listed companies, and investors’ quality. At the same time, the market, regulatory institutions and investors are becoming mature, which is geared to international standards. But there are also many problems in Chinese securities market now, such as great market fluctuation, poor asset pricing, and obvious herd behavior of investors. A large amount of scholars and people in investment are discussing "what kind of investment concept do we need?" and besides it, a special column concerning this problem in China Securities Journal is opened. Therefore, a study on the relationship between investment concept, investment behavior of investors, and movement of securities market is of important practical meaning. This project aims to deal with the following problems:1) how to establish the right investment concept in Chinese securities market; 2) promoting the study and innovation of investment concept; 3) providing a theoretical foundation for a sound, stable, and sustainable Chinese securities market; 4) offering help for every level of investor who is faced with investment decision.On the basis of a review on some scholars’ and securities pursuers’research findings, we find out few papers regarding the relationship between investment concept and movement of securities market, especially an empirical research on mainstream investment concept through quantization analysis. With empirical analysis method and role analysis method, this project studies the features of securities market and investment strategy of investors in different stages of investment concepts before the interaction between movement of securities market and the replacement of investment concepts and its related reasons are revealed.The project is divided into seven chapters, starting with an introduction of definition and connotation of investment concept and mainstream investment concept. Chapter Two presents the development process of investment concept and clear classification of classic investment concept from philosophical point of view, methodology, and operation imbalance. Chapter Three examines and analyzes the progression of mainstream investment concept of American securities market. Chapter Four examines and analyzes the development and evolvement of mainstream investment concept of Chinese securities market. In this chapter, adopting Neil’s way of looking for mainstream investment concept, the author divides Chinese securities market from May,1999 to June,2007 into four stages:a prevailing stage of single growth investment concept, a prevailing stage of multiple growth investment concepts, a stage of non-investment concept, and a prevailing stage of single value investment concept. Chapter Five and six discusses investment concept and movement of market with empirical analysis. The last chapter offers the conclusion of the whole paper.The findings of this paper show:1) In the different prevailing stages of mainstream investment concepts, the investment ability, investment style of investors, and movement of securities market have remarkable differences; 2) In the stage of non-investment concept, the situation of securities market is worst. The investors’securities-selectivity ability and market-timing ability are quite poor. The systematic risk of securities market increases. The market has the features of low liquidity and great volatility; 3) In the stage of growth investment concept, the investors lay particular stress on market-timing, an investment strategy. The market has the features of strong liquidity and volatility; 4) In the stage of value investment concept, the investors pay more attention to investment strategy called securities-selectivity. The securities market has the features of strong liquidity and low volatility; 5) In the stage of multiple investment concepts, securities market seems stable and sound beyond our expectation. The market has the features of low volatility and the highest liquidity.This paper explains the above-mentioned problems from two aspects:1) the features of value and growth investment concepts; 2) the structure of investors having an influence on the mainstream investment concept and movement of securities market. As to a dispute on value investment concept or growth investment concept, which one is more suitable for the development of Chinese securities market, the author holds that either value investment concept or growth investment concept can reflect partial basic rules and basic features of securities market from different angles. Both single value investment concept and growth investment concept will increase the systematic risk of market and weaken the vitality of market, while multiple investment concepts can make the market decrease the systematic risk of market and strengthen the vitality and liquidity market.更多还原