【摘要】：機構投資者的崛起是全球金融體系近30年來最大的變化之一。作為證券市場中主要的投資力量,相比個人投資者資金規(guī)模小、投資專業(yè)能力較低、獲取信息的質量不高及獲取的渠道與速度受到限制,機構投資者在諸多方面都具有優(yōu)勢。按理說,其套牢事件應該比較少。但是,在現(xiàn)實情況中,機構投資者套牢事件逐漸增多,頻率也逐漸提高,且對機構投資者和證券市場發(fā)展都產生了一定的影響,所以對套牢情形下機構投資者投資行為的研究很有必要。 本文基于機構投資者套牢的前提,深入分析了套牢對機構投資者投資行為的影響。文章首先闡述了機構投資者套牢的形成機理,進而介紹了機構投資者套牢的特征表現(xiàn)；然后理論上分析了套牢對機構投資者投資理念及投資行為的影響,創(chuàng)新性的論述了機構投資者通過動量行為和反轉行為相結合的波段操作方式,接著論述了套牢對機構投資者羊群行為的影響,進而實現(xiàn)了對套牢個股的減持、持股等待和自救的行為；之后建立了實證分析模型,從市場、機構投資者自身及個股層面對影響機構投資者投資行為的因素進行了必要的實證研究,進而結合理論研究對實證結果進行了分析；最后,在總結理論分析和實證結果的前提下,得出了本文的研究結論,針對此研究結論提出了相關的政策和建議。 本文的理論分析和實證研究表明,套牢個股的每股收益變動率、股價的漲跌幅度及換手率的基本面因素對機構投資者的投資行為產生了重要影響,而證券市場的大盤指數(shù)收益率及基金凈值變動對機構投資者的投資行為影響有限。為減少機構投資者的套牢次數(shù)和有限理性的投資行為,政府應該完善信息的披露、建立多層面的機構投資者格局的職能,機構投資者應該通過培育價值投資理念、完善內部管理及激勵制度等提高其理性投資,另外,也應該通過市場和內部管理加強對上市公司的監(jiān)管,以此促進機構投資者和我國證券市場的健康發(fā)展。
[Abstract]:The rise of institutional investors is one of the biggest changes in the global financial system in nearly 30 years. As the main investment force in the securities market, compared with individual investors, the capital scale of individual investors is small, the professional ability of investment is low, the quality of access to information is not high and the access channel and speed are limited. Institutional investors have advantages in many aspects. According to reason, there should be fewer concealment incidents. However, in reality, the incidents of institutional investors are gradually increasing, and the frequency is also gradually increasing, and has had a certain impact on the development of institutional investors and the securities market. Therefore, it is necessary to study the investment behavior of institutional investors. Based on the premise of institutional investors, this paper deeply analyzes the influence of institutional investors on institutional investors' investment behavior. This paper first expounds the formation mechanism of institutional investors, and then introduces the characteristics of institutional investors. Then it theoretically analyzes the influence of ensemble on the investment concept and investment behavior of institutional investors, and innovatively discusses the band operation mode of institutional investors through the combination of momentum behavior and reversal behavior. Then it discusses the influence of locking up on the herding behavior of institutional investors, and then realizes the behavior of reducing the holding of individual stocks, holding stock waiting and saving themselves. Then the empirical analysis model is established, and the necessary empirical research on the factors that affect the investment behavior of institutional investors is carried out from the market, institutional investors themselves and individual stocks, and then the empirical results are analyzed in combination with theoretical research. Finally, on the premise of summing up the theoretical analysis and empirical results, the research conclusions of this paper are obtained, and the relevant policies and suggestions are put forward. The theoretical analysis and empirical research in this paper show that the change rate of earnings per share, the rise and fall of stock price and the basic factors of turnover rate have an important impact on the investment behavior of institutional investors. However, the rate of return of the stock market index and the change of the net value of the fund have a limited impact on the investment behavior of institutional investors. In order to reduce the number of institutional investors and limited rational investment behavior, the government should improve the disclosure of information and establish the function of multi-level institutional investor pattern. Institutional investors should cultivate the concept of value investment. Improve the internal management and incentive system to improve their rational investment, in addition, we should also strengthen the supervision of listed companies through the market and internal management, so as to promote the healthy development of institutional investors and China's securities market.
【學位授予單位】：鄭州大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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