本文關(guān)鍵詞：基金行為對股市流動性影響研究　出處：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 羊群行為 慣性行為 流動性

【摘要】：經(jīng)過20多年的發(fā)展,我國的資本市場取得了非凡的發(fā)展,已經(jīng)成為全球第二大資本市場,資本市場的國際影響力也不可小覷,這些都得益于經(jīng)濟(jì)的高速發(fā)展和資本市場的市場話改革。伴隨著資本市場發(fā)展,證券投資基金也日趨壯大,截止到2011年6月,我國的證券投資基金數(shù)量已經(jīng)由2001年的51只發(fā)展到809只,凈資產(chǎn)由821億發(fā)展到23600億,基金管理公司也由34家發(fā)展到65家。 一方面基金的蓬勃發(fā)展變投資者直接投資為間接投資,資金的集聚效應(yīng)很好的對沖了資本市場的波動,同時(shí)基金作為一種理財(cái)方式也吸引了更多的資金進(jìn)入股市,這有利于股市的流動性的提高；另一方面基金管理公司相對于個(gè)人投資者有更科學(xué)的投資理念和研究能力,對股票內(nèi)在價(jià)值也有更好的判斷,還可以使信息更快地在股價(jià)上得到體現(xiàn),所以說基金的發(fā)展對資本市場整體質(zhì)量的提升起到了舉足輕重的作用。但是基金自身的交易行為卻有其劣根性,表現(xiàn)在羊群行為、慣性行為、內(nèi)幕操作等不理性的投資行為。 正因?yàn)榛饘墒杏腥绱酥卮笞饔?但是又存在不理性行為,不少學(xué)者就此展開研究,主要是考察羊群行為和慣性行為以及由此帶來的影響,但是更多的是考察非理性行為對股價(jià)和波動性的影響,很少有學(xué)者研究其對流動性的影響,所以本文就基金行為和股市流行性展開研究。本文變量選取也在參考主流方法的基礎(chǔ)上進(jìn)行合理的改進(jìn),以基金指數(shù)交易額占滬深300交易額的比重衡量基金的持倉量,以基金指數(shù)交易量日間凈變化衡量基金的買賣行為,以滬深300指數(shù)的流動性衡量股市總體流動性。 全文按照先理論后實(shí)證的思路展開,理論上先就國內(nèi)外關(guān)于基金行為和股市流動性的文獻(xiàn)進(jìn)行分類,系統(tǒng)歸納了各位學(xué)者的觀點(diǎn),并進(jìn)行簡單的評價(jià)。研究基金行為的文獻(xiàn)主要側(cè)重于對基金投資行為中的“羊群行為”和“慣性效應(yīng)”展開研究并實(shí)證檢驗(yàn)；研究股市流動性的文獻(xiàn)主要是測算流動性風(fēng)險(xiǎn)并基于CAPM模型和FAMA三因素模型研究其溢價(jià)。 因?yàn)榛鸬牟煌袨橛胁煌哪Ｐ秃饬?衡量流動性的指標(biāo)更是為數(shù)眾多,所以在理論分析之前需要對相關(guān)概念進(jìn)行梳理�；鸬难蛉盒袨榘凑找郧皩W(xué)者的思路可以劃分為基于信息流的羊群行為和基于委托—代理模型的羊群行為；基金的慣性行為又分為正向慣性和反向慣性,可以通過考察基金本期的持倉變化和上期收益之間的關(guān)系來確定。關(guān)于流動性指標(biāo),本文按照價(jià)格法、交易量法、價(jià)量結(jié)合法、時(shí)間法對流動性衡量指標(biāo)進(jìn)行歸類,‘并就指標(biāo)的利弊進(jìn)行簡單的評價(jià)。測量流動性的目的是要觀察是否存在流動性不足以及帶來的風(fēng)險(xiǎn),流動性成本的度量和流動性風(fēng)險(xiǎn)分析一樣重要,關(guān)系到資產(chǎn)價(jià)格的確定。 在上文的鋪墊下,接著對我國基金的投資行為和股市流動性現(xiàn)狀進(jìn)行了描述。通過分析得出我國的基金投資存在明顯的羊群行為和慣性行為,體現(xiàn)在基金投資標(biāo)的具有同質(zhì)性而且受到上一期收益率的影響,上期收益率越高本期投資額度越高。關(guān)于流動性,統(tǒng)計(jì)數(shù)據(jù)顯示,我國股市流動性已經(jīng)完全滿足機(jī)構(gòu)投資者和中小投資者交易的需求,表現(xiàn)在流動性系列指標(biāo)都保持在理想的水平,并隨著時(shí)間的推移越來越好,這樣機(jī)構(gòu)投資者和中小投資者在投資時(shí)面臨的風(fēng)險(xiǎn)就小,流動性風(fēng)險(xiǎn)小也可以使資產(chǎn)的定價(jià)接近其真實(shí)的價(jià)值,這也是市場成熟的表現(xiàn)之一。 第四章從實(shí)證的角度來檢驗(yàn)基金行為對股市流動性的影響,基金的投資行為歸根結(jié)底可以歸結(jié)為買入賣出和持倉量,本文引入基金持倉量凈變化和交易額占比兩個(gè)指標(biāo),基金持倉量凈變化的計(jì)算采取t期交易量和t-1期交易量的差值描述基金的買賣行為,凈變化為正表示基金買入,為負(fù)表示賣出,交易額占比以基金指數(shù)交易額和滬深300指數(shù)交易額的商表示基金投資的參與度,商值高說明基金持倉多,參與深,相反說明持倉少,參與度不高�；鹦袨楹凸墒辛鲃有缘南嚓P(guān)性從宏觀上就是考察上述兩個(gè)指標(biāo)考察對股市流動性的影響,通過計(jì)量的工具加以驗(yàn)證。然后從基金買入賣出個(gè)股,看基金的增持和減持對個(gè)股的流動性是否產(chǎn)生影響。 實(shí)證通過建立多元回歸方程確定線性關(guān)系,從相應(yīng)的系數(shù)統(tǒng)計(jì)值看基金的交易額占比對股市流動性的影響顯著,而持倉凈變化對流動性的影響程度就相對不顯著。接著建立VAR模型,分析各變量的滯后期對其他變量的動態(tài)解釋程度,并在VAR模型的基礎(chǔ)上進(jìn)行格蘭杰因果檢驗(yàn),證明之間存在計(jì)量上的因果關(guān)系,計(jì)量結(jié)果顯示在全樣本和熊市階段下,交易額占比和持倉凈變化都為流動性的格蘭杰原因,但是在牛市持倉凈變化對流動性的解釋不顯著,只有交易額占比為流動性的格蘭杰原因,之所以出現(xiàn)這種情況是因?yàn)樵谂Ｊ性肼暯灰妆緛砭秃艹渥?而且整個(gè)市場的流動性是出于下降趨勢的。接著用脈沖響應(yīng)測試兩個(gè)自變量對流動性的沖擊影響,實(shí)證結(jié)果進(jìn)一步證實(shí)了交易額占比對流動性的解釋力度勝過持倉凈變化,理由為交易額占比對流動性的沖擊顯著且持續(xù)為正,而持倉凈變化對流動性的沖擊則時(shí)正時(shí)負(fù),表現(xiàn)出不穩(wěn)定。方差分解的測試說明,全樣本中,持股凈變化的方差貢獻(xiàn)度更大,牛市樣本中交易額占比的方差貢獻(xiàn)度大,而在熊市,兩者貢獻(xiàn)度相當(dāng)。實(shí)證的最終是在肯定基金發(fā)展為股市的貢獻(xiàn)的同時(shí),其非理性投資行為擾亂了市場次序。 本文創(chuàng)新之處有：(1)目前單獨(dú)研究基金行為和流動性的文獻(xiàn)很多,但是研究兩者相互關(guān)系的卻很少。所以本文最主要的創(chuàng)新就是把兩者結(jié)合起來研究,考察基金的持倉水平和交易凈變化對總體市場流動性的影響,并深入分解時(shí)間跨度,分別從牛市和熊市兩個(gè)階段考察,研究不同行情背景下的兩者關(guān)系(2)對影響展開深入的分析,不僅僅局限于整體股市,更深入到個(gè)股上,廣度和深度上都得到拓展。本文從宏觀角度分析基金持股凈變化和交易額占比和股市總體流動性的相關(guān)關(guān)系,同時(shí)再進(jìn)一步從時(shí)間跨度中截取小樣本研究牛市和熊市中的異同。最后深入到個(gè)股,觀察基金增倉和減倉對個(gè)股流動性的影響。 不足之處主要是限于知識結(jié)構(gòu)和數(shù)據(jù)的可得性,研究深度還有待進(jìn)一步深入。基金行為對行業(yè)流動性的影響應(yīng)該不能忽略,但是行業(yè)眾多,數(shù)據(jù)難以收集,同時(shí)各行業(yè)的基本情況和影響因素也各不相同,所以研究難度也比較高。同時(shí)本文最后針對個(gè)股的研究還顯得粗糙,如果能得到高頻的交易數(shù)據(jù),那么研究的準(zhǔn)確度也就會得到提升。
[Abstract]:After more than 20 years of development , China ' s capital market has made remarkable progress , has become the second largest capital market in the world , the international influence of capital market is not to be underestimated , these all benefit from the high - speed development of the economy and the market reform of the capital market . With the development of the capital market , the stock investment fund is growing . As of June 2011 , the number of China ' s securities investment fund has been expanded from 51 to 809 billion in 2001 , and the fund management company has developed from 34 to 65 . On the one hand , the fund ' s booming variable - investor direct investment as indirect investment , the accumulation effect of funds is very good to hedge the fluctuation of the capital market , meanwhile , as a kind of financial management , the fund attracts more funds to enter the stock market , which is beneficial to the stock market liquidity . On the other hand , the fund management company has more scientific investment ideas and research ability than the individual investors , so that the fund ' s development plays a pivotal role in the whole quality of the capital market . However , the fund ' s own trading behavior has its inferior nature , which is manifested in irrational investment behavior such as herding behavior , inertia behavior , insider operation , etc . This paper studies the influence of irrational behavior on stock price and volatility , but it is more important to study the influence of irrational behavior on stock price and volatility . The paper classifies the literatures about fund behavior and stock market liquidity at home and abroad according to the first theory , then summarizes the views of scholars and makes a simple evaluation . The literature on the behavior of the fund mainly focuses on the research on " herding behavior " and " inertia effect " in the fund investment behavior and the empirical test ; the literature on the liquidity of the stock market is mainly to measure liquidity risk and study its premium based on CAPM model and FAMA three - factor model . Because the fund ' s different behaviors have different models and measure the liquidity index , it needs to comb relevant concepts before the theoretical analysis . The fund ' s herd behavior can be divided into the herd behavior based on the information flow and the trust - agent model based herd behavior before the theoretical analysis . The fund ' s inertia behavior is classified into the positive inertia and the reverse inertia . The purpose of the liquidity is to observe whether there is insufficient liquidity and the risk of liquidity risk , as well as the measurement of liquidity cost and liquidity risk analysis . This paper describes the present situation of investment behavior and stock market liquidity in our country . Through analysis , the stock market liquidity of our country is quite satisfying . The higher the yield is , the higher the investment is . As the time goes on , the risk of the institutional investors and small and medium investors is small , the liquidity risk is small , and the pricing of the assets is close to their true value , which is also one of the mature performance of the market . The fourth chapter examines the effect of fund behavior on stock market liquidity from the empirical point of view . The net change of fund ' s investment behavior can be summed up as buying and selling and holding quantity . The net change of fund ' s net change and transaction amount represents the fund ' s buying and selling . The net change is that the fund is bought and sold . The correlation of fund ' s behavior and stock market liquidity is to examine the effect of the above two indexes on the liquidity of the stock market , and then buy and sell individual shares from the fund , and see whether the fund ' s increasing and reducing influence on the liquidity of the stock market . Based on VAR model , there is no significant effect on the liquidity of stock market , but the effect of net change on liquidity is relatively insignificant . This paper is innovative in that : ( 1 ) There are a lot of literature on the behavior and liquidity of the fund at present , but the research on the relationship between them is very rare . Therefore , the most important innovation in this paper is to combine them together to study the influence of the fund ' s position and net change on the overall market liquidity . The deficiency is mainly limited to the availability of knowledge structure and data , and the research depth is still to be further deepened . The impact of fund behavior on industry liquidity should not be neglected , but the research difficulty is too high . At the same time , the research on individual shares is still rough , and if the transaction data of high frequency can be obtained , the accuracy of the research will be improved .

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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