全国社会保障基金股票投资风险管理与绩效测度研究
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摘要
2011年底,证监会主席郭树清建议地方养老金和公积金应学习全国社会保障基金管理经验,积极入市。他认为,这部分高达2万多亿的基金如果能够成为资本市场的长线投资者,不仅有利于基金增值,更有利于我国资本市场的健康长久发展。很多学者针对此建议进行了讨论,其中大多数人持有谨慎态度。鉴于目前我国的资本市场还很不完善,用老百姓的“养命钱”去投资股市,风险确实很大。有人说,不改变中国股市圈钱的性质,养老金就不能入市,可见我国的股票市场的定位还很不明确。全国社保基金作为先行者,其在资本市场上摸爬滚打10年来到底取得了怎样的成绩,其风险管理情况如何?投资绩效怎样?对这些问题的回答有利于现阶段讨论社保基金入市问题。由于地方养老基金规模巨大,而我国股市存在的风险较大,因此,现阶段是否应该投资资本市场,特别是是否应该进行股市投资等问题值得思考。因此,本文拟对全国社保基金近年来的股票市场投资表现,具体测度其所面临的风险,并对其投资运营的绩效进行考核。为了从宏观视角考察对全国社保基金股票投资收益有影响的相关因素,本文对影响股票收益的诸多宏观因素进行详细的阐述和研讨,力图从宏观角度对全国社保基金的收益有更深入的了解。在此基础上,为了初步了解社保基金投资组合所能承受的损失,本文在宏观因素分析的基础上针对不同情景进行了压力测试研究,探究宏观因素的变动对全国社保基金收益的具体影响。本文的目的是了解目前全国社保基金投资运营的总体概况,从风险和收益两个角度进行测度,找出影响股票收益的宏观因素,并结合国外的基金管理经验,给出完善我国基金投资管理的相应对策,系统全面地掌握近年来全国社保基金股市投资的总体运营情况,实现我国养老保险基金保值增值的目的,同时为地方养老基金入市提供一定的参考。
本文主要运用对比分析法、文献分析法、实证分析法以及情景分析法对全国社保基金股票投资管理问题进行了系统阐述,并得出了以下主要结论：(1)我国社保基金股票投资组合所面临的系统性风险和非系统风险较高。系统性风险的存在一方面说明我国股票市场的不健全,另一方面也表明社保基金投资组合持股比较集中,通过本文分析可以看出,由于社保基金所持股票的行业较为集中,所承担的系统性风险也较大。另外,社保基金股票投资组合的非系统性风险分散能力不强,这说明基金管理人的操作能力还有待加强。(2)全国社会保障基金股票投资组合收益在未来的24小时内存在较大的下跌风险。通过VaR模型分析可知,各股的VaR值超过了市场组合的VaR,说明股票投资承担了较大的风险。各股的VaR值不尽相同,说明机构投资者选股的能力有差异。通过GARCH-VaR可知,社保基金投资风险较大的事情集中在2008年,这说明系统性风险是我国股市投资必须要注重的问题,如何减少系统性风险的损失是我国社保基金股票投资的主要考量。(3)全国社保基金经过风险调整的收益状况并不乐观。尽管从整体上看,全国社保基金的收益普遍高于通货膨胀率,在一定程度上实现了保值增值的目的,这也肯定了全国社保基金积极投资资本市场的意义。但是在考虑了市场风险之后,全国社保基金的股票投资组合的收益状况并不乐观,各投资组合仍然面临着较大的系统性风险和非系统性风险,值得引起注意。(4)全国社会保障基金股票投资组合收益受多个宏观因素影响。本文从实证方面发现,股票市场并不能成为我国经济发展的“晴雨表”。因此,应积极稳定价格因素,以消除其在短期对股市收益的影响,优化利率价格的形成机制与传导机制以拓展宏观调控空间,同时应该完善我国资本市场的制度建设,真正让“股票市场”成为我国经济发展的“晴雨表”。(5)全国社会保障基金股票投资组合在经济发生较小波动时,可能的收益要小于一年期存款利率,表明社保基金投资组合出现损失的可能性较大。通过压力测试研究发现,在给定一定的压力时,全国社保基金股票投资的收益率明显降低,这说明了宏观因素对股市收益的影响重大。在这里,我们只是作了一个很简单的粗略分析,提出的问题就是不容忽视这种宏观因素对股票收益的影响,至于结果我们应该审慎对待。(6)不同国情的养老金管理体制不尽相同,这要求我国必须根据自己的实际情况选择养老金投资管理体制。不同国家的社会保障投资管理体制不尽相同,这是由本国的实际情况所决定。同一个国家不同的社保基金投资管理体制也不尽相同,这大多是与基金性质有关。现收现付制的养老保险基金往往不参与资本市场,而个人账户制的养老保险大都是广泛参与资本市场。进入资本市场的这部分养老保险基金在各个国家的资产配置也不尽相同,这都是由本国的实际情况所决定的。对于我国的全国社保基金而言,理顺投资管理体系、不断充实社保基金、完善监督管理等,比盲目提高社保基金入市比例更重要。
本文的创新之处是：(1)系统测度了全国社保基金股票投资的风险现状。本文全面测度了全国社保基金股票投资组合在股票市场投资时所面临的系统性风险、非系统性风险和总风险,发现由于我国股票市场不健全以及各投资管理人的选股能力有差异导致全国社保基金股票投资组合所面临的系统性风险和非系统性风险较高；(2)对全国社保基金的股票投资状况进行了风险价值评估。本文运用社保基金前十大重仓股为样本,利用VaR模型及其拓展GARCH-VaR模型对社保基金可能面临的风险损失进行测度,同时结合成分VaR,边际VaR对资产组合进行了深入讨论,发现全国社保基金股票投资组合面临较大的下跌风险；(3)对社保基金股票收益的宏观影响因素进行了分析以及作了压力测试研究。本文运用多元回归、Granger因果关系检验、脉冲响应分析以及方差分解等计量分析方法,对全国社保基金股票投资的收益影响因素进行了宏观分析,在此基础上进行了压力测试研究,得出全国社保基金股票投资组合受多个宏观因素影响且抗压能力较弱的结论。
本文的不足之处是：(1)本文只对影响全国社保基金投资的宏观影响因素进行了分析,其实微观影响因素同样重要,这里主要涉及到个股的选取问题,如选股的依据等。但是由于数据的局限,本文未能对全国社保基金股票投资的微观影响因素进行系统讨论,这也是未来需要继续研究的方向。(2)本文仅针对影响因素进行了简单分析,传导机制研究稍显不足,同时压力测试研究只是初步评判全国社会保障基金的支付风险,所得结论可能不够严谨,需要审慎对待。(3)本文仅对全国社保基金在股票市场上的投资行为做了一定的研究分析,而事实上全国社保基金在资本市场中的投资形式多种多样,因此未来希望能够通过多种投资工具分别对社保基金的投资行为做进一步探讨。
Recently, the Chairman of the SFC Guo Shuqing suggested that local pension and provident funds should learn from the management experience of National Social Security Fund and invest in the market actively. He believed that if this up to more than20,000billion fund becomes the long-term investor in the capital market, it is not only beneficial to fund value-added, but also to the healthy long-term development of China's capital market. Many scholars have discussed for this proposal and many of them hold cautious attitudes. Because China's capital market is far from perfect, using ordinary people's "life money" to invest in it is really risky. Some people said that if we don't change the nature of enclosure of money of China's stock market, the pension funds should not enter the market, showing that the positioning of China's stock market is far from clear. As a pioneer, National Social Security Fund has made what achievements at the end of ten years investing in capital market, how was its risk management? What about its investment performance? Answers to these questions will be good to the discussion of whether the social security fund should invest in capital market. Because the scale of the local pension funds is very big and our stock market is quite risky, it will be worth considering whether we should invest in capital market or in stock market, in particular. Therefore, this paper is designed to assess National Social Security Fund's investment performance in stock market and measure the risk specifically, as well as the performance of its investment operation. In order to examine the relevant factors affecting investment income of National Social Security Fund from a macro perspective, the paper describes and discusses in detail the many macroeconomic factors which affect stock returns, trying to show more deep understandings of returns of National Social Security Fund from a macro perspective. On this basis, to form a preliminary understanding of the loss that National Social Security Fund can sustain, the paper does the stress test on the basis of the analysis of macroeconomic factors under different scenarios, exploring the specific impacts that the macroeconomic factors will have on National Social Security Fund. The purpose of this paper is to understand the overall profile of the investment operation of National Social Security Fund, to measure the risks and the benefits, to identify the macro factors which will affect the stock returns and to give the corresponding suggestions of improving our fund investment management, combinding foreign fund management experience. Furthermore, this paper will help us grasp systematically and comprehensively of the overall operation of National Social Security Fund in stock market in recent years and achieve the purpose of increasing the value of pension funds in China, as well as providing a reference for local pension funds to invest in capital market.
In this paper, we use comparative analysis, literature analysis, empirical analysis and scenario analysis to describe the equity investment management system of National Social Security Fund, reaching the following conclusions:(1) Our National Social Security Fund is facing higher systematic risk and non-systematic risk. On the one hand, the existence of systematic risk shows that China's stock market is not perfect, on the other hand, it also shows that National Social Security Fund is holding stocks too concentrated. Through this analysis we can see that the stocks held by National Social Security Fund are concentrated in several industries, so it takes higher systematic risk. In addition, the dispersion capacity of non-systematic risk of stock portfolios of National Social Security Fund is not very good. This shows that the operating capacity of the fund manager has to be strengthened.(2) The gains of National Social Security Fund face large downside risk in the next24hours. VaR model ananlysis shows that the stocks'VaR are larger than the market's VaR, expressing that investing in stock market bears a greater risk. Each stock's VaR is different from one another, showing the difference of stock choosing ability between institutional investors. By analyzing GARCH-VaR model, we can find that most of the risky events of National Social Security Fund occurred in2008. This shows that the systematic risk is the problem that we must pay attention to when investing in China's stock market. How to reduce the loss of systematic risk is the main concern of stock market investment of National Social Security Fund.(3) National Social Security Fund's risk-adjusted returns are not optimistic. Though overall, National Social Security Fund's return is generally higher than the inflation rate, reaching the purpose of increasing the value at some extent, which affirmed the significance of actively investing in capital market of National Social Security Fund. However, the returns of National Social Security Fund's equity portfolio are not optimistic after including market risk. Each portfolio is still exposed to great systematic risk and unsystematic risk, which is deserved attention.(4) The returns of National Social Security Fund's stock portfolios are affected by a large number of macro factors. Through empirical analysis, the paper finds that the stock market is not the "barometer" of China's economic development. Besides, we should stabilize the price factor actively in order to eliminate its impact on stock market in short term and optimize the price formation mechanism and transmission mechanism of interest rate to expand the space of macro-control. In the meanwhile, we should improve the system construction of China's capital market, making the stock market become the "barometer" of China's economic development.(5) When small fluctuations exist, the possible income of National Social Security Fund's stock portfolio is less than one-year deposit rate, showing that the possibility of loss of National Social Security Fund is large. By stress tests, we find that under a certain pressure, the yield of National Social Security Fund's stock portfolio is significantly lower. This shows that macroeconomic factors have significant impact on the stock market. Here, we just made a very simple cursory analysis, the issue raised is we can not ignore the impact of macroeconomic factors on stock market, the result should be carefully treated.(6) Pension management system is not the same under different national circumstances, which requires pension investment management system must be selected according to our actual situation. Social security investment management system is not the same in different countries, which is determined by their actual situation. The investment management of different national social security fund is different in one country because of fund nature. The pay-as-you-go funds often do not invest in capital market, meanwhile, the funds of determined-contribution system often invest in capital market widely. The pension insurance fund assets which are invested in capital markets are allocated differently in different countries. It is all determined by their actual situation. As for our National Social Security Fund, retionalizing investment management system to continuously enrich the social security fund and improving the supervision and management are more important than blindly increasing the proportion of social security fund.
The innovation of this paper is:(1) the paper systematically measures the status of gains and risks of National Social Security Fund's stock portfolio. This article comprehensively measures the systematic risk, unsystematic risk and total risk faced by National Social Security Fund's equity portfolio when investing in the stock market, founding that the systematic risk and unsystematic risk faced by National Social Security Fund's equity portfolio are relatively high, due to the differences in stock picking ability of investment managers and unperfectness of China's stock market.(2)Do risk valuation on the stock investment position of National Social Security Fund. In the paper, we use the top ten stocks heavily held by National Social Security Fund as sample stocks and use VaR model and its expansion model of GARCH-VaR to measure the risk of loss of National Social Security Fund. In addition with the composition VaR and marginal VaR, we discuss more deeply on the portfolio and found that National Social Security Fund's equity portfolio is facing great downside risk.(3) The analysis of macroeconomic factors'impact on social security fund and stress test. The paper use different quantitative analysis methods such as multiple regression, Granger Causality test, impulse response analysis and variance decomposition to do macro analysis of factors on National Social Security Fund. On this basis we do the stress test and come to the conclusion that National Social Security Fund is affected by multiple macroeconomic factors and has weak stress resistance.
The inadequacies of this article are:(1) The paper only discusses the macroeconomic factors affecting the investment of National Social Security Fund. In fact, the microeconomic factors are equally important, which are mainly related to the selection of individual stocks, such as the references. However, due to data limitations, this article failed to analyze the microeconomic factors affecting the stock investment of National Social Security Fund, which is the future direction of further research.(2) In this paper, we only make a simple analysis of influencial factors and haven't put emphesis on conduction mechanism. In addition, stress test study only preliminary judges the risk of payment of National Social Security Fund, the conclutions may not be sufficiently rigorous and requires careful treatment.(3) This article only does research and analysis on the stock market investment behavior of National Social Security Fund. In fact, National Social Security Fund is invested in capital market in various forms, so we hope in the future can explore the social security fund investment behavior further through a variety of investment tools.
本文主要运用对比分析法、文献分析法、实证分析法以及情景分析法对全国社保基金股票投资管理问题进行了系统阐述,并得出了以下主要结论：(1)我国社保基金股票投资组合所面临的系统性风险和非系统风险较高。系统性风险的存在一方面说明我国股票市场的不健全,另一方面也表明社保基金投资组合持股比较集中,通过本文分析可以看出,由于社保基金所持股票的行业较为集中,所承担的系统性风险也较大。另外,社保基金股票投资组合的非系统性风险分散能力不强,这说明基金管理人的操作能力还有待加强。(2)全国社会保障基金股票投资组合收益在未来的24小时内存在较大的下跌风险。通过VaR模型分析可知,各股的VaR值超过了市场组合的VaR,说明股票投资承担了较大的风险。各股的VaR值不尽相同,说明机构投资者选股的能力有差异。通过GARCH-VaR可知,社保基金投资风险较大的事情集中在2008年,这说明系统性风险是我国股市投资必须要注重的问题,如何减少系统性风险的损失是我国社保基金股票投资的主要考量。(3)全国社保基金经过风险调整的收益状况并不乐观。尽管从整体上看,全国社保基金的收益普遍高于通货膨胀率,在一定程度上实现了保值增值的目的,这也肯定了全国社保基金积极投资资本市场的意义。但是在考虑了市场风险之后,全国社保基金的股票投资组合的收益状况并不乐观,各投资组合仍然面临着较大的系统性风险和非系统性风险,值得引起注意。(4)全国社会保障基金股票投资组合收益受多个宏观因素影响。本文从实证方面发现,股票市场并不能成为我国经济发展的“晴雨表”。因此,应积极稳定价格因素,以消除其在短期对股市收益的影响,优化利率价格的形成机制与传导机制以拓展宏观调控空间,同时应该完善我国资本市场的制度建设,真正让“股票市场”成为我国经济发展的“晴雨表”。(5)全国社会保障基金股票投资组合在经济发生较小波动时,可能的收益要小于一年期存款利率,表明社保基金投资组合出现损失的可能性较大。通过压力测试研究发现,在给定一定的压力时,全国社保基金股票投资的收益率明显降低,这说明了宏观因素对股市收益的影响重大。在这里,我们只是作了一个很简单的粗略分析,提出的问题就是不容忽视这种宏观因素对股票收益的影响,至于结果我们应该审慎对待。(6)不同国情的养老金管理体制不尽相同,这要求我国必须根据自己的实际情况选择养老金投资管理体制。不同国家的社会保障投资管理体制不尽相同,这是由本国的实际情况所决定。同一个国家不同的社保基金投资管理体制也不尽相同,这大多是与基金性质有关。现收现付制的养老保险基金往往不参与资本市场,而个人账户制的养老保险大都是广泛参与资本市场。进入资本市场的这部分养老保险基金在各个国家的资产配置也不尽相同,这都是由本国的实际情况所决定的。对于我国的全国社保基金而言,理顺投资管理体系、不断充实社保基金、完善监督管理等,比盲目提高社保基金入市比例更重要。
本文的创新之处是：(1)系统测度了全国社保基金股票投资的风险现状。本文全面测度了全国社保基金股票投资组合在股票市场投资时所面临的系统性风险、非系统性风险和总风险,发现由于我国股票市场不健全以及各投资管理人的选股能力有差异导致全国社保基金股票投资组合所面临的系统性风险和非系统性风险较高；(2)对全国社保基金的股票投资状况进行了风险价值评估。本文运用社保基金前十大重仓股为样本,利用VaR模型及其拓展GARCH-VaR模型对社保基金可能面临的风险损失进行测度,同时结合成分VaR,边际VaR对资产组合进行了深入讨论,发现全国社保基金股票投资组合面临较大的下跌风险；(3)对社保基金股票收益的宏观影响因素进行了分析以及作了压力测试研究。本文运用多元回归、Granger因果关系检验、脉冲响应分析以及方差分解等计量分析方法,对全国社保基金股票投资的收益影响因素进行了宏观分析,在此基础上进行了压力测试研究,得出全国社保基金股票投资组合受多个宏观因素影响且抗压能力较弱的结论。
本文的不足之处是：(1)本文只对影响全国社保基金投资的宏观影响因素进行了分析,其实微观影响因素同样重要,这里主要涉及到个股的选取问题,如选股的依据等。但是由于数据的局限,本文未能对全国社保基金股票投资的微观影响因素进行系统讨论,这也是未来需要继续研究的方向。(2)本文仅针对影响因素进行了简单分析,传导机制研究稍显不足,同时压力测试研究只是初步评判全国社会保障基金的支付风险,所得结论可能不够严谨,需要审慎对待。(3)本文仅对全国社保基金在股票市场上的投资行为做了一定的研究分析,而事实上全国社保基金在资本市场中的投资形式多种多样,因此未来希望能够通过多种投资工具分别对社保基金的投资行为做进一步探讨。
Recently, the Chairman of the SFC Guo Shuqing suggested that local pension and provident funds should learn from the management experience of National Social Security Fund and invest in the market actively. He believed that if this up to more than20,000billion fund becomes the long-term investor in the capital market, it is not only beneficial to fund value-added, but also to the healthy long-term development of China's capital market. Many scholars have discussed for this proposal and many of them hold cautious attitudes. Because China's capital market is far from perfect, using ordinary people's "life money" to invest in it is really risky. Some people said that if we don't change the nature of enclosure of money of China's stock market, the pension funds should not enter the market, showing that the positioning of China's stock market is far from clear. As a pioneer, National Social Security Fund has made what achievements at the end of ten years investing in capital market, how was its risk management? What about its investment performance? Answers to these questions will be good to the discussion of whether the social security fund should invest in capital market. Because the scale of the local pension funds is very big and our stock market is quite risky, it will be worth considering whether we should invest in capital market or in stock market, in particular. Therefore, this paper is designed to assess National Social Security Fund's investment performance in stock market and measure the risk specifically, as well as the performance of its investment operation. In order to examine the relevant factors affecting investment income of National Social Security Fund from a macro perspective, the paper describes and discusses in detail the many macroeconomic factors which affect stock returns, trying to show more deep understandings of returns of National Social Security Fund from a macro perspective. On this basis, to form a preliminary understanding of the loss that National Social Security Fund can sustain, the paper does the stress test on the basis of the analysis of macroeconomic factors under different scenarios, exploring the specific impacts that the macroeconomic factors will have on National Social Security Fund. The purpose of this paper is to understand the overall profile of the investment operation of National Social Security Fund, to measure the risks and the benefits, to identify the macro factors which will affect the stock returns and to give the corresponding suggestions of improving our fund investment management, combinding foreign fund management experience. Furthermore, this paper will help us grasp systematically and comprehensively of the overall operation of National Social Security Fund in stock market in recent years and achieve the purpose of increasing the value of pension funds in China, as well as providing a reference for local pension funds to invest in capital market.
In this paper, we use comparative analysis, literature analysis, empirical analysis and scenario analysis to describe the equity investment management system of National Social Security Fund, reaching the following conclusions:(1) Our National Social Security Fund is facing higher systematic risk and non-systematic risk. On the one hand, the existence of systematic risk shows that China's stock market is not perfect, on the other hand, it also shows that National Social Security Fund is holding stocks too concentrated. Through this analysis we can see that the stocks held by National Social Security Fund are concentrated in several industries, so it takes higher systematic risk. In addition, the dispersion capacity of non-systematic risk of stock portfolios of National Social Security Fund is not very good. This shows that the operating capacity of the fund manager has to be strengthened.(2) The gains of National Social Security Fund face large downside risk in the next24hours. VaR model ananlysis shows that the stocks'VaR are larger than the market's VaR, expressing that investing in stock market bears a greater risk. Each stock's VaR is different from one another, showing the difference of stock choosing ability between institutional investors. By analyzing GARCH-VaR model, we can find that most of the risky events of National Social Security Fund occurred in2008. This shows that the systematic risk is the problem that we must pay attention to when investing in China's stock market. How to reduce the loss of systematic risk is the main concern of stock market investment of National Social Security Fund.(3) National Social Security Fund's risk-adjusted returns are not optimistic. Though overall, National Social Security Fund's return is generally higher than the inflation rate, reaching the purpose of increasing the value at some extent, which affirmed the significance of actively investing in capital market of National Social Security Fund. However, the returns of National Social Security Fund's equity portfolio are not optimistic after including market risk. Each portfolio is still exposed to great systematic risk and unsystematic risk, which is deserved attention.(4) The returns of National Social Security Fund's stock portfolios are affected by a large number of macro factors. Through empirical analysis, the paper finds that the stock market is not the "barometer" of China's economic development. Besides, we should stabilize the price factor actively in order to eliminate its impact on stock market in short term and optimize the price formation mechanism and transmission mechanism of interest rate to expand the space of macro-control. In the meanwhile, we should improve the system construction of China's capital market, making the stock market become the "barometer" of China's economic development.(5) When small fluctuations exist, the possible income of National Social Security Fund's stock portfolio is less than one-year deposit rate, showing that the possibility of loss of National Social Security Fund is large. By stress tests, we find that under a certain pressure, the yield of National Social Security Fund's stock portfolio is significantly lower. This shows that macroeconomic factors have significant impact on the stock market. Here, we just made a very simple cursory analysis, the issue raised is we can not ignore the impact of macroeconomic factors on stock market, the result should be carefully treated.(6) Pension management system is not the same under different national circumstances, which requires pension investment management system must be selected according to our actual situation. Social security investment management system is not the same in different countries, which is determined by their actual situation. The investment management of different national social security fund is different in one country because of fund nature. The pay-as-you-go funds often do not invest in capital market, meanwhile, the funds of determined-contribution system often invest in capital market widely. The pension insurance fund assets which are invested in capital markets are allocated differently in different countries. It is all determined by their actual situation. As for our National Social Security Fund, retionalizing investment management system to continuously enrich the social security fund and improving the supervision and management are more important than blindly increasing the proportion of social security fund.
The innovation of this paper is:(1) the paper systematically measures the status of gains and risks of National Social Security Fund's stock portfolio. This article comprehensively measures the systematic risk, unsystematic risk and total risk faced by National Social Security Fund's equity portfolio when investing in the stock market, founding that the systematic risk and unsystematic risk faced by National Social Security Fund's equity portfolio are relatively high, due to the differences in stock picking ability of investment managers and unperfectness of China's stock market.(2)Do risk valuation on the stock investment position of National Social Security Fund. In the paper, we use the top ten stocks heavily held by National Social Security Fund as sample stocks and use VaR model and its expansion model of GARCH-VaR to measure the risk of loss of National Social Security Fund. In addition with the composition VaR and marginal VaR, we discuss more deeply on the portfolio and found that National Social Security Fund's equity portfolio is facing great downside risk.(3) The analysis of macroeconomic factors'impact on social security fund and stress test. The paper use different quantitative analysis methods such as multiple regression, Granger Causality test, impulse response analysis and variance decomposition to do macro analysis of factors on National Social Security Fund. On this basis we do the stress test and come to the conclusion that National Social Security Fund is affected by multiple macroeconomic factors and has weak stress resistance.
The inadequacies of this article are:(1) The paper only discusses the macroeconomic factors affecting the investment of National Social Security Fund. In fact, the microeconomic factors are equally important, which are mainly related to the selection of individual stocks, such as the references. However, due to data limitations, this article failed to analyze the microeconomic factors affecting the stock investment of National Social Security Fund, which is the future direction of further research.(2) In this paper, we only make a simple analysis of influencial factors and haven't put emphesis on conduction mechanism. In addition, stress test study only preliminary judges the risk of payment of National Social Security Fund, the conclutions may not be sufficiently rigorous and requires careful treatment.(3) This article only does research and analysis on the stock market investment behavior of National Social Security Fund. In fact, National Social Security Fund is invested in capital market in various forms, so we hope in the future can explore the social security fund investment behavior further through a variety of investment tools.
引文
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