本文選題：資本市場周期性　切入點：壽險業(yè)　出處：《山東大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：保險公司作為機(jī)構(gòu)投資者之一是資本市場最重要的參與者,同時與資本市場構(gòu)成金融體系的重要組成部分。壽險公司是兼具經(jīng)濟(jì)保障功能和金融服務(wù)功能的重要金融機(jī)構(gòu)。伴隨著金融全球一體化發(fā)展趨勢,壽險業(yè)在產(chǎn)品、服務(wù)與組織結(jié)構(gòu)等方面不斷創(chuàng)新。壽險產(chǎn)品的創(chuàng)新發(fā)展以及壽險服務(wù)多樣性的擴(kuò)展,使其作為金融服務(wù)機(jī)構(gòu)的功能不斷增強(qiáng),保險公司成為資本市場中最大且最有影響力的機(jī)構(gòu)投資者之一,這對壽險投資提出了更高的要求,壽險投資已經(jīng)成為壽險業(yè)中與承保業(yè)務(wù)并重的一項重要活動,以至于在保險業(yè)發(fā)達(dá)的國家和地區(qū),壽險投資逐漸成為彌補(bǔ)承保業(yè)務(wù)虧損和創(chuàng)造利潤的支柱。 目前中國上市公司整體效益和給股東的投資回報持續(xù)下降、給投資者帶來很大的風(fēng)險以至于損失。這種不正常的現(xiàn)象長期存在的原因之一就在于中國資本市場的投資者結(jié)構(gòu)過于分散、機(jī)構(gòu)投資者過少,散戶占絕對優(yōu)勢,帶來市場過度波動。因此,為了促進(jìn)資本市場的發(fā)展和成熟,必須大力培育機(jī)構(gòu)投資者,壽險業(yè)就是其中重要的一員,資本市場的盡快完善也需要壽險業(yè)的參與和支持。 本文在對資本市場波動周期理論與壽險投資策略研究成果進(jìn)行了梳理的基礎(chǔ)上；描述了我國壽險資金運(yùn)用與投資結(jié)構(gòu)現(xiàn)狀,比較英美日發(fā)達(dá)國家壽險投資結(jié)構(gòu)與收益狀況,探析我國壽險資金運(yùn)用與投資策略；利用HP濾波分析方法分別選取市盈率和全A股市值月度數(shù)據(jù)探測中國資本市場波動周期的有無并量化其大小；對1999年到2012年中國壽險資金(保費(fèi)、賠付、營運(yùn)管理費(fèi))與同期中國全A股資本市場市值波動序列進(jìn)行向量自回歸(VAR)分析,實證檢驗了中國資本市場周期性波動與壽險資金之間的動態(tài)因果關(guān)系,根據(jù)實證分析結(jié)果,討論中國資本市場周期波動規(guī)律對壽險資金的影響,最后總結(jié)研究結(jié)論提出可行性的政策建議。 本文可能的創(chuàng)新之處在于,在分析方法上,使用了先進(jìn)的計量經(jīng)濟(jì)學(xué)方法,選取市盈率和全A股市值兩個不同指標(biāo),通過HP濾波分析方法分別探測中國資本市場波動周期的有無,并量化其大小。建立了向量自回歸(VAR)模型,從定量的角度實證研究資本市場周期波動對壽險投資的影響,并通過脈沖響應(yīng)分析考察各變量對沖擊響應(yīng)的方向與時滯效應(yīng)。在指標(biāo)選擇與數(shù)據(jù)來源方面,樣本跨度期間長,數(shù)據(jù)的時效性較強(qiáng)。但是由于受壽險投資相關(guān)數(shù)據(jù)的限制,加之我國壽險行業(yè)起步較晚等客觀原因,導(dǎo)致本文在數(shù)據(jù)的運(yùn)用上不夠完善,對分析結(jié)果造成一定影響。
[Abstract]:As one of the institutional investors, insurance companies are the most important participants in the capital market. At the same time, the capital market constitutes an important part of the financial system. Life insurance companies are important financial institutions with both the function of economic security and the function of financial services. The innovation of life insurance products and the expansion of the diversity of life insurance services make its function as a financial service institution continuously enhanced. Insurance companies have become one of the largest and most influential institutional investors in the capital market, which puts forward higher requirements for life insurance investment, which has become an important activity in the life insurance industry as well as the underwriting business. Even in the developed countries and regions of insurance, life insurance investment has gradually become the mainstay of making up the loss of underwriting business and creating profits. At present, the overall efficiency of Chinese listed companies and the return on investment to shareholders continue to decline. One of the reasons for this anomaly is that the investor structure in China's capital markets is too fragmented, that there are too few institutional investors, and that retail investors have an absolute advantage. Therefore, in order to promote the development and maturity of the capital market, institutional investors must be cultivated and the life insurance industry is one of the important members, and the perfection of the capital market also needs the participation and support of the life insurance industry. On the basis of combing the theory of fluctuation cycle of capital market and the research results of life insurance investment strategy, this paper describes the present situation of life insurance fund utilization and investment structure in China, and compares the investment structure and income situation of life insurance in Anglo-American and Japanese developed countries. This paper probes into the utilization and investment strategy of life insurance funds in China, selects the monthly data of price / earnings ratio and market value of all A shares by HP filter analysis method to detect whether there is a merger or not in the fluctuation cycle of China's capital market. From 1999 to 2012, Chinese life insurance fund (insurance premium, indemnity, operating management fee) and market value volatility series of Chinese A-share capital market in the same period were analyzed by vector autoregressive regression (VAR). This paper examines the dynamic causality between the cyclical fluctuations of Chinese capital market and life insurance funds. According to the empirical analysis results, this paper discusses the influence of the law of periodic fluctuation of Chinese capital market on life insurance funds. Finally, the conclusion of the study put forward feasible policy recommendations. The possible innovation of this paper lies in the use of advanced econometric methods to select two different indexes, namely, price-earnings ratio and market value, in the analysis method. HP filter analysis method is used to detect and quantify the volatility cycle of Chinese capital market. A vector autoregressive (VAR) model is established to empirically study the impact of capital market cycle fluctuation on life insurance investment from a quantitative point of view. Through impulse response analysis, the direction and time delay effect of each variable to impact response are investigated. In the aspect of index selection and data source, the sample span is long and the time effect of data is strong. However, due to the limitation of life insurance investment related data, In addition, due to the late start of life insurance industry in our country, the application of the data in this paper is not perfect enough, which has a certain impact on the results of the analysis.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F842.62;F832.51

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