证券投资基金与股市波动性
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摘要
在中国股市近二十年的发展历程中,以个人投资者为主的投资者结构一直被认为是中国股市波动剧烈的主要原因。在此背景下,我国大力发展证券投资基金(以下简称基金)就是为了发挥其稳定市场的功能,但是,基金的实际市场运作与预期存在很大偏差。基金如何影响市场以及是否具有稳定市场功能方面,引起了广泛的关注和研究。
论文以投资组合理论、有效市场理论和行为金融理论等金融投资理论为研究的理论基础,从理性投资者特征、委托-代理理论和投资组合理论几个方面展开理论分析后得出结论:基金并不具有稳定股市的动机,其行为的选择及其对股市稳定的影响并不能绝对的说是有利还是无利,而是具有双面性,受到基金治理结构完善程度、证券市场制度安排等多方面因素的制约。只有在某些特定的内外部条件都具备的前提下,基金的行为才能规范,才能对股市起到稳定的作用,否则会加大股市的波动性。在此基础上,论文从基金的投资行为和投资组合两条主线出发,从基金的反馈交易策略和羊群行为与基金的持仓比例、持股集中度和持股期限分别对股市波动性的影响进行了理论分析。
论文采用参数方法(如ARCH模型族)就基金进入市场后对我国股市波动的影响进行了实证研究。根据GARCH(1,1)和EGARCH(1,1)模型对中国上海证券交易所的上证A股指数和深圳证券交易所的深证A股指数的每个工作日数据进行统计分析和数据拟合。以基金推出的时间作为分类依据,在市场的不同状态下研究股市波动性的变化情况,并判断股市波动性结构是否发生变化。本文的实证结果认为:证券投资基金的推出,对中国股市没有起到稳定股市、降低波动性的作用。中国A股市场存在明显的ARCH效应,在证券投资基金进入市场后,波动性水平并没有得到下降,波动性特征随着股市周期的变化而变化,当市场处于低迷期时,投资基金阶段性地降低了股市的波动性;当市场处于高涨期时,投资基金反而加剧了股市的波动性。中国A股市场波动性在市场低迷期时存在明显的负向“杠杆效应”,股市负面信息的冲击比正面信息的冲击对股市波动性产生更大的影响,基金助跌作用显著;当市场处于高涨期时则存在正向“杠杆效应”。实证结果并不支持我国证券监管当局关于发展证券投资基金等机构投资者来稳定市场的政策意图,这与国内外许多学者所得出的基金稳定股市、降低波动性的结论不一致。
论文还对基金影响股市波动性的作用机理进行了实证检验。在基金投资行为方面,我国基金投资行为存在明显的正反馈交易策略效应和羊群效应。基金在买入时存在显著的追涨特征,在卖出时存在显著的高卖特征,即基金的操作策略是以“高买高卖”为主,整体偏好于追涨杀跌的正反馈交易策略;从基金的整体和分类实证结果分析得到,我国基金存在较高的羊群行为度。在基金投资组合方面,我国基金持仓比例的变化在不同时期对股市波动的影响呈现不同的正负效应,大部分情况下负效应更为明显;我国基金基本上保持着较高的持股集中度水平,并且与大盘A股指数波动保持着较为明显的正相关关系;目前我国绝大多数基金属于中短线投资,即基金持股期限一般小于2个季度。实证结果说明,目前我国基金并没有对股市起到稳定作用,在不同市场周期下,有时候反而加剧了我国股市的波动。
最后,论文针对理论与实证分析的结果,从证券市场和基金自身两方面对我国基金不能发挥稳定市场功能的原因进行了分析,对我国基金的发展和合理定位,提出了相关的政策建议。
In the course of China stock market developing for nearly two decades, the structure of investors dominated by individual investors has always been regarded as one of the main factors, which lead China stock market to extreme fluctuation. In this background, to develop China securities investment fund (SIF) vigorously is to exert its function in order to stabilize the market. However, there existed large deviations between the actual effect of SIF market operation and the expected. How SIF influence the market, and whether SIF has the functions to stabilize the market, the questions attracted attention and research widely.
Firstly, on the basis of finance and investment theory, such as portfolio theory, efficient market theory and behavioral finance theory, the paper analyses SIF theoretically from several aspects, such as rational investor characteristics, principal-agent theory and portfolio theory, and draws the following conclusion. SIF has no motive to stabilize stock market. It has double-sided, and should not be beneficial or adverse absolutely of the choice of its behavior and its impact on stability of stock market. It is restricted by factors, including satisfactory level of SIF management structure and institutional arrangements for securities market. Only under the premise of certain internal and external conditions being available, SIF could play a stabilizing role on stock market with the conduct of SIF standardized. Otherwise it would increase stock market volatility. From investment behavior and portfolio two main lines, the paper analyses SIF theoretically from feedback trading strategies, herding behavior, position ratio, shareholding concentration and periods.
Then, the paper attempts to use the parametric method (such as ARCH Models) to conduct an empirical study about the impact of SIF on China stock market. The paper uses GARCH (1,1) and EGARCH(1,1) models to conduct statistical analysis and data fitting of all workday data of Shanghai A-Share Index and Shenzhen A-Share Index. With the introduction of SIF as a dividing line, it compares the variations of stock market volatility and evaluates whether the volatility structure of the stock market has changed. The empirical results consider the introduction of SIF did not stabilize China stock market or reduce China stock market volatility. There exists an obvious ARCH effect on China A-share market. After SIF entering the market, the level of volatility has not been dropped, and characteristics of volatility change as stock market cycle changing. When the market is suffering a downturn period, SIF reduces the volatility of the stock market periodically; when the market is rising period, SIF rather than exacerbated the volatility of stock market. The volatility of China A-share market exists obvious negative "leverage effect" only when the market is Declining period. Negative messages produce a bigger impact on stock market volatility than positive messages. It shows SIF play a significant role to exacerbate. And there exists positive "leverage effect" when the market is rising period. The empirical result does not support the policy intention that China securities regulatory authorities develop SIF and other institutional investors to stabilize the market. The result is inconsistent with the conclusions that many scholars at home and abroad consider that SIF could stabilize stock market, or reduce volatility of the market.
Further, the paper tested empirically on mechanism of SIF affecting stock market volatility. Regarding SIF investment behavior, there exist obvious positive feedback trading strategy effect and herding effect on stock market. Regarding SIF investment portfolio, position ratio of China SIF has different positive or negative effects on stock market volatility at different periods, and negative effects are more pronounced in most cases; China SIF maintains a high level of shareholding concentration basically, which has a more pronounced positive correlation with index volatility of A-share market; At present, Most of China SIF belong to medium-term or short-term investment, that is, they hold shares period less than two quarters generally. The empirical results show that China SIF haves not been stabilizing effects on stock market, and sometimes instead aggravate the stock market volatility in China in different market cycles.
Finally, on the basis of theoretical and empirical analysis conclusions, the paper analyses the causes from stock market and SIF itself two aspects why China SIF could not exert the function to stabilize the market. After establishing a reasonable position on developing China SIF, the paper makes relevant policy recommendations.
论文以投资组合理论、有效市场理论和行为金融理论等金融投资理论为研究的理论基础,从理性投资者特征、委托-代理理论和投资组合理论几个方面展开理论分析后得出结论:基金并不具有稳定股市的动机,其行为的选择及其对股市稳定的影响并不能绝对的说是有利还是无利,而是具有双面性,受到基金治理结构完善程度、证券市场制度安排等多方面因素的制约。只有在某些特定的内外部条件都具备的前提下,基金的行为才能规范,才能对股市起到稳定的作用,否则会加大股市的波动性。在此基础上,论文从基金的投资行为和投资组合两条主线出发,从基金的反馈交易策略和羊群行为与基金的持仓比例、持股集中度和持股期限分别对股市波动性的影响进行了理论分析。
论文采用参数方法(如ARCH模型族)就基金进入市场后对我国股市波动的影响进行了实证研究。根据GARCH(1,1)和EGARCH(1,1)模型对中国上海证券交易所的上证A股指数和深圳证券交易所的深证A股指数的每个工作日数据进行统计分析和数据拟合。以基金推出的时间作为分类依据,在市场的不同状态下研究股市波动性的变化情况,并判断股市波动性结构是否发生变化。本文的实证结果认为:证券投资基金的推出,对中国股市没有起到稳定股市、降低波动性的作用。中国A股市场存在明显的ARCH效应,在证券投资基金进入市场后,波动性水平并没有得到下降,波动性特征随着股市周期的变化而变化,当市场处于低迷期时,投资基金阶段性地降低了股市的波动性;当市场处于高涨期时,投资基金反而加剧了股市的波动性。中国A股市场波动性在市场低迷期时存在明显的负向“杠杆效应”,股市负面信息的冲击比正面信息的冲击对股市波动性产生更大的影响,基金助跌作用显著;当市场处于高涨期时则存在正向“杠杆效应”。实证结果并不支持我国证券监管当局关于发展证券投资基金等机构投资者来稳定市场的政策意图,这与国内外许多学者所得出的基金稳定股市、降低波动性的结论不一致。
论文还对基金影响股市波动性的作用机理进行了实证检验。在基金投资行为方面,我国基金投资行为存在明显的正反馈交易策略效应和羊群效应。基金在买入时存在显著的追涨特征,在卖出时存在显著的高卖特征,即基金的操作策略是以“高买高卖”为主,整体偏好于追涨杀跌的正反馈交易策略;从基金的整体和分类实证结果分析得到,我国基金存在较高的羊群行为度。在基金投资组合方面,我国基金持仓比例的变化在不同时期对股市波动的影响呈现不同的正负效应,大部分情况下负效应更为明显;我国基金基本上保持着较高的持股集中度水平,并且与大盘A股指数波动保持着较为明显的正相关关系;目前我国绝大多数基金属于中短线投资,即基金持股期限一般小于2个季度。实证结果说明,目前我国基金并没有对股市起到稳定作用,在不同市场周期下,有时候反而加剧了我国股市的波动。
最后,论文针对理论与实证分析的结果,从证券市场和基金自身两方面对我国基金不能发挥稳定市场功能的原因进行了分析,对我国基金的发展和合理定位,提出了相关的政策建议。
In the course of China stock market developing for nearly two decades, the structure of investors dominated by individual investors has always been regarded as one of the main factors, which lead China stock market to extreme fluctuation. In this background, to develop China securities investment fund (SIF) vigorously is to exert its function in order to stabilize the market. However, there existed large deviations between the actual effect of SIF market operation and the expected. How SIF influence the market, and whether SIF has the functions to stabilize the market, the questions attracted attention and research widely.
Firstly, on the basis of finance and investment theory, such as portfolio theory, efficient market theory and behavioral finance theory, the paper analyses SIF theoretically from several aspects, such as rational investor characteristics, principal-agent theory and portfolio theory, and draws the following conclusion. SIF has no motive to stabilize stock market. It has double-sided, and should not be beneficial or adverse absolutely of the choice of its behavior and its impact on stability of stock market. It is restricted by factors, including satisfactory level of SIF management structure and institutional arrangements for securities market. Only under the premise of certain internal and external conditions being available, SIF could play a stabilizing role on stock market with the conduct of SIF standardized. Otherwise it would increase stock market volatility. From investment behavior and portfolio two main lines, the paper analyses SIF theoretically from feedback trading strategies, herding behavior, position ratio, shareholding concentration and periods.
Then, the paper attempts to use the parametric method (such as ARCH Models) to conduct an empirical study about the impact of SIF on China stock market. The paper uses GARCH (1,1) and EGARCH(1,1) models to conduct statistical analysis and data fitting of all workday data of Shanghai A-Share Index and Shenzhen A-Share Index. With the introduction of SIF as a dividing line, it compares the variations of stock market volatility and evaluates whether the volatility structure of the stock market has changed. The empirical results consider the introduction of SIF did not stabilize China stock market or reduce China stock market volatility. There exists an obvious ARCH effect on China A-share market. After SIF entering the market, the level of volatility has not been dropped, and characteristics of volatility change as stock market cycle changing. When the market is suffering a downturn period, SIF reduces the volatility of the stock market periodically; when the market is rising period, SIF rather than exacerbated the volatility of stock market. The volatility of China A-share market exists obvious negative "leverage effect" only when the market is Declining period. Negative messages produce a bigger impact on stock market volatility than positive messages. It shows SIF play a significant role to exacerbate. And there exists positive "leverage effect" when the market is rising period. The empirical result does not support the policy intention that China securities regulatory authorities develop SIF and other institutional investors to stabilize the market. The result is inconsistent with the conclusions that many scholars at home and abroad consider that SIF could stabilize stock market, or reduce volatility of the market.
Further, the paper tested empirically on mechanism of SIF affecting stock market volatility. Regarding SIF investment behavior, there exist obvious positive feedback trading strategy effect and herding effect on stock market. Regarding SIF investment portfolio, position ratio of China SIF has different positive or negative effects on stock market volatility at different periods, and negative effects are more pronounced in most cases; China SIF maintains a high level of shareholding concentration basically, which has a more pronounced positive correlation with index volatility of A-share market; At present, Most of China SIF belong to medium-term or short-term investment, that is, they hold shares period less than two quarters generally. The empirical results show that China SIF haves not been stabilizing effects on stock market, and sometimes instead aggravate the stock market volatility in China in different market cycles.
Finally, on the basis of theoretical and empirical analysis conclusions, the paper analyses the causes from stock market and SIF itself two aspects why China SIF could not exert the function to stabilize the market. After establishing a reasonable position on developing China SIF, the paper makes relevant policy recommendations.
引文
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