本文選題：機(jī)構(gòu)投資者 + 流動(dòng)性約束�。� 參考：《鄭州大學(xué)》2012年碩士論文

【摘要】：目前,我國(guó)機(jī)構(gòu)投資者的投資行為大多是基于委托—代理關(guān)系的集合投資行為,這就決定了機(jī)構(gòu)投資者的資金流動(dòng)不確定性強(qiáng),也必然使其自身的投資行為受制于資金層面的流動(dòng)性約束。為了能更好地應(yīng)對(duì)隨時(shí)可能出現(xiàn)的資金支出需求,機(jī)構(gòu)投資者會(huì)更加追求短期的投資收益,并主動(dòng)或被動(dòng)地改變自己原有的投資計(jì)劃和策略。本文研究的重點(diǎn)是流動(dòng)性約束如何影響機(jī)構(gòu)投資者的投資行為以及在不同的市場(chǎng)狀況下基于流動(dòng)性約束的機(jī)構(gòu)投資者投資行為的特征。 本文首先總結(jié)歸納了不同層面的流動(dòng)性的概念,在此基礎(chǔ)上給出了機(jī)構(gòu)投資者流動(dòng)性約束的定義,進(jìn)而分析了機(jī)構(gòu)投資者流動(dòng)性約束的形成機(jī)理。隨后,從行為金融學(xué)的角度出發(fā),探討了流動(dòng)性約束對(duì)機(jī)構(gòu)投資者投資行為在三個(gè)方面的影響,并分別在牛市和熊市兩種不同的市況下,分析了基于流動(dòng)性約束的機(jī)構(gòu)投資者投資行為的特征,得出了以下結(jié)論：在牛市中,基于流動(dòng)性約束的機(jī)構(gòu)投資者會(huì)實(shí)施反轉(zhuǎn)行為打壓股價(jià),使其有能力進(jìn)行下一輪的動(dòng)量行為拉升股價(jià)而獲利,反復(fù)進(jìn)行波段操作,并在波段操作的過(guò)程中實(shí)現(xiàn)調(diào)倉(cāng)換股,并最終形成處置效應(yīng)。在熊市中,基于流動(dòng)性約束的機(jī)構(gòu)投資者仍然會(huì)通過(guò)不斷反復(fù)的反轉(zhuǎn)行為和動(dòng)量行為進(jìn)行波段操作、調(diào)倉(cāng)換股,機(jī)構(gòu)投資者之間會(huì)相互協(xié)作、抱團(tuán)取暖,但也會(huì)基于同行競(jìng)爭(zhēng)和業(yè)績(jī)排名的壓力進(jìn)行捕食性交易。此外,文章通過(guò)構(gòu)建數(shù)學(xué)模型具體描述了基于流動(dòng)性約束的機(jī)構(gòu)投資者之間的“捕食”交易行為,并采用實(shí)證分析的方法進(jìn)一步證實(shí)了理論部分的結(jié)論。最后,文章提出了一些政策建議,旨在加強(qiáng)對(duì)機(jī)構(gòu)投資者的監(jiān)管力度,提高機(jī)構(gòu)投資者的流動(dòng)性風(fēng)險(xiǎn)管理水平,培育全面、理性的機(jī)構(gòu)投資者,促進(jìn)我國(guó)資本市場(chǎng)的健康發(fā)展。
[Abstract]:At present, most of the investment behavior of institutional investors in our country is based on the aggregate investment behavior based on the principal-agent relationship, which determines that the institutional investors have a strong liquidity uncertainty, and the investment behavior of the institutional investors is bound to be constrained by the liquidity constraints at the capital level. The focus of this paper is how liquidity constraints affect the investment behavior of institutional investors and the characteristics of institutional investors' investment behavior based on liquidity constraints in different market conditions.
This paper first summarizes the concept of liquidity in different levels, and then gives the definition of liquidity constraints for institutional investors, and then analyzes the formation mechanism of liquidity constraints of institutional investors. Then, from the perspective of behavioral finance, this paper discusses the three aspects of liquidity constraints on institutional investors' investment behavior. Under the two different market conditions of the bull market and the bear market, the characteristics of institutional investors' investment behavior based on liquidity constraints are analyzed. The following conclusions are drawn: in the bull market, institutional investors based on liquidity constraints will carry out reverse behavior to press the stock price, so that they have the ability to carry on the next round of momentum behavior to lift the stock price. In a bear market, institutional investors, based on liquidity constraints, will continue to operate through repeated reversals and momentum behavior in a bear market, transfer stocks and swap stocks, and the institutional investors will cooperate with each other to warm up in a bear market. In addition, the article describes the "predatory" trading behavior between institutional investors based on liquidity constraints by building a mathematical model, and further confirms the conclusion of the theoretical part by the method of empirical analysis. Finally, the article puts forward some of the conclusions. The policy suggestion is to strengthen the supervision of institutional investors, improve the level of liquidity risk management of institutional investors, cultivate comprehensive and rational institutional investors, and promote the healthy development of the capital market in China.
【學(xué)位授予單位】：鄭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51

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