机构投资行为及其对证券市场安全影响
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摘要
机构投资者是投资专业化、组织化和社会化的产物,对于动员零星储蓄向投资转化、优化公司治理、发挥证券市场的社会功能和正常运作都有着举足轻重的影响。世界范围内成熟证券市场的发展历程表明,证券投资者法人化、机构化是国际证券市场的一个突出发展趋势,机构投资者的发展有利于引导资本市场投资者进行价值投资和长期投资,改善市场微观结构,从而促进市场安全建设。在管理层的大力推动下,伴随着证券市场的发展,我国的机构投资者迅速崛起,除了数量和规模上的持续增长外,结构也不断优化,形成了证券投资基金、保险公司、证券公司、社保基金、QFII、三类企业、私募基金等组成的多样化的机构投资者结构,对证券市场的影响力和控制力不断增强。
然而,机构投资者作为逐利的经济人,并不会把稳定市场、促进市场安全作为经营目标,在为市场繁荣做出贡献的同时,某些机构投资行为也给证券市场带来了负面影响。机构投资者能否起到促进市场安全的积极作用成为投资者和监管者共同关注的焦点,如何兼顾公平与效率,规范机构投资行为,促进证券市场安全,保护中小投资者利益,已经成为亟待解决的重要课题。
本文立足于中国证券市场实际进行理论机理研究和实证检验:从刻画中国证券市场投资者结构出发,考察机构投资者的交易行为特征,通过机构投资者行为与理性假设差异分析,综合考虑宏观因素,判断和深入剖析机构投资者交易行为影响证券市场安全的形成机理,探讨投资者保护机制,为加强机构投资者监管和建设市场安全制度提供政策建议。期望能够正确引导机构投资者的经营方向,为个体投资者投资行为提供决策参考,并为监管当局有效监管机构投资者提供科学、客观的决策依据,规范机构投资者运作,提升资本市场投资价值,推动中国证券市场安全、健康发展。根据这一线索,全文围绕以下四个问题展开研究和论述:①中国证券市场上的机构投资者呈现出哪些行为特征?②不同类型机构的交易行为是否存在差异?③机构投资者对于市场安全性是否发挥了有效作用④如何促进投资者保护以及市场安全?共分为七章:
第一章基于理论发展和现实背景提出问题,对研究对象进行了界定和简要描述,并且介绍了全文的研究思路与框架。第二章通过对相关经典的理论研究和国内外证券市场实证研究的回顾和评述,从理论上论述机构投资者崛起的必然性,剖析机构投资行为影响市场安全的机制,阐明投资者保护的重要意义。第三章全面总结了我国机构投资者的发展历程,对各类机构投资者的发展现状和投资行为特征进行了定量分析。第四章、第五章、第六章应用中国证券市场的实际数据,从宏观经济及微观市场结构角度分别研究了机构投资行为对证券市场流动性、波动性、有效性的影响,从而判断其对市场安全的影响。实证研究表明,机构投资行为扩大了市场波动,提高了个股的流动性,但在牛市中可以抑制过度的流动性,最为重要的是机构投资行为明显地改善了市场有效性。这意味着,近年来机构投资者的飞速发展,对于证券市场安全有着十分重要的促进作用。第七章则分析了机构投资者在投资者保护中的重要作用,在此基础上提出了市场安全建设的政策建议。
Institutional investors are a product of market competition when investment tends to be carried out through professional people and organizational coordination. It has a significant impact on transforming sporadic savings into investment; optimizing corporate governance and guaranteeing stock market perform its social function. The development of mature securities market in the world discloses a prominent trend that security investors tend to establish a legal institution. Thus, institutional investors will guide capital market investors execute long-term investment and value investment, improve market micro-structure, so as to promote safe market construction. With the great enforcement of managers, as well as the development of securities market, there is a rapid growing of institutional investors in China. It not only grows in size and scale, but also optimize in composition. As a result, securities investment funds, insurance companies, securities companies, social security fund, QFII, private equity funds etc, compose diversified institutional investors, they influence and control security market gradually.
However, as an“economical person”, preserving market safety would not be considered as institutional investors’operational goal. Institutional investors contribute to the prosperity of the market, while some bring negative impact on stock market. Whether institutional investors can play a positive role in persisting market safety or not becomes a common focus of investors and regulators. How to ensure fairness and efficiency, standardize institutional investors’investment behavior, promote the security market safety and protect the interests of small and medium investors has become an urgent and important issue.
This paper puts great effort to derive the operational mechanism. Therefore, we carry out this study in several steps: at first, we portrait the composition of institutional investors in China security market; and then, investigate their trading behaviors. In the second, we compare the differences between institutional investors’behaviors and rational hypothesis in the first place, after those integrate macro-level factors’influence; based on this, we explore in-depth impact of institutional investors’trading behaviors on the formation mechanism of the security market. In the third, we discuss investors’protection mechanism in order to provide policy recommendations for supervising institutional investors and constructing market safety. Looking forward to leading institutional investors execute right investment direction, help individual investors to make rational decision-making, as well as provide regulatory authorities to monitor institutional investors with scientific, objective basis. These can standardize the operation of institutional investors, enhance investment value of the capital market, and promote safe and healthy development of Chinese securities market. According to this clue, this paper pays attention to four issues:①characteristics of institutional investors’behavioral in Chinese stock market.②differences among different classes of institutional investors’transaction behaviors.③institutional investors’function on security market safety.④how to booster protection of investors and market safety.
This paper contains seven chapters. Chapter 1 presents problem statement based on the background of practical and theoretical development, defines research objectives and gives a brief description. In this chapter, research ideas and framework also been introduced. In chapter 2, we review some relevant classic theories and empirical studies on domestic and abroad stock markets; then we point out this is an inevitable process for institutional investors appearing in stock market from theoretical perspective; after this, we investigate the mechanism how institutions’investment behavior to influence market safety and clarify the importance of investor protection. Chapter III summarizes the development history of Chinese institutional investors at first, and then carries out quantitative analysis on various classes of investors’status and their investment behavior characteristics. Chapter IV, Chapter V and Chapter VI use China stock market data to study the impact of institutional investors’behavior on stock market liquidity, volatility and effectiveness from the macro-economic and micro-market structure point. Empirical studies reveal that institutional investors’action expands the market volatility and improves liquidity of the stock. But in a bull market, it can inhibit the excessive liquidity; the most important feature is that institutional investors can improve effectiveness of market significantly. This means that institutional investors have a significant influence on securities market safety in recent years. Chapter VII is an analysis of institutional investors’important role in the investor protection; based on this, some suggestions on market safety construction are given.
然而,机构投资者作为逐利的经济人,并不会把稳定市场、促进市场安全作为经营目标,在为市场繁荣做出贡献的同时,某些机构投资行为也给证券市场带来了负面影响。机构投资者能否起到促进市场安全的积极作用成为投资者和监管者共同关注的焦点,如何兼顾公平与效率,规范机构投资行为,促进证券市场安全,保护中小投资者利益,已经成为亟待解决的重要课题。
本文立足于中国证券市场实际进行理论机理研究和实证检验:从刻画中国证券市场投资者结构出发,考察机构投资者的交易行为特征,通过机构投资者行为与理性假设差异分析,综合考虑宏观因素,判断和深入剖析机构投资者交易行为影响证券市场安全的形成机理,探讨投资者保护机制,为加强机构投资者监管和建设市场安全制度提供政策建议。期望能够正确引导机构投资者的经营方向,为个体投资者投资行为提供决策参考,并为监管当局有效监管机构投资者提供科学、客观的决策依据,规范机构投资者运作,提升资本市场投资价值,推动中国证券市场安全、健康发展。根据这一线索,全文围绕以下四个问题展开研究和论述:①中国证券市场上的机构投资者呈现出哪些行为特征?②不同类型机构的交易行为是否存在差异?③机构投资者对于市场安全性是否发挥了有效作用④如何促进投资者保护以及市场安全?共分为七章:
第一章基于理论发展和现实背景提出问题,对研究对象进行了界定和简要描述,并且介绍了全文的研究思路与框架。第二章通过对相关经典的理论研究和国内外证券市场实证研究的回顾和评述,从理论上论述机构投资者崛起的必然性,剖析机构投资行为影响市场安全的机制,阐明投资者保护的重要意义。第三章全面总结了我国机构投资者的发展历程,对各类机构投资者的发展现状和投资行为特征进行了定量分析。第四章、第五章、第六章应用中国证券市场的实际数据,从宏观经济及微观市场结构角度分别研究了机构投资行为对证券市场流动性、波动性、有效性的影响,从而判断其对市场安全的影响。实证研究表明,机构投资行为扩大了市场波动,提高了个股的流动性,但在牛市中可以抑制过度的流动性,最为重要的是机构投资行为明显地改善了市场有效性。这意味着,近年来机构投资者的飞速发展,对于证券市场安全有着十分重要的促进作用。第七章则分析了机构投资者在投资者保护中的重要作用,在此基础上提出了市场安全建设的政策建议。
Institutional investors are a product of market competition when investment tends to be carried out through professional people and organizational coordination. It has a significant impact on transforming sporadic savings into investment; optimizing corporate governance and guaranteeing stock market perform its social function. The development of mature securities market in the world discloses a prominent trend that security investors tend to establish a legal institution. Thus, institutional investors will guide capital market investors execute long-term investment and value investment, improve market micro-structure, so as to promote safe market construction. With the great enforcement of managers, as well as the development of securities market, there is a rapid growing of institutional investors in China. It not only grows in size and scale, but also optimize in composition. As a result, securities investment funds, insurance companies, securities companies, social security fund, QFII, private equity funds etc, compose diversified institutional investors, they influence and control security market gradually.
However, as an“economical person”, preserving market safety would not be considered as institutional investors’operational goal. Institutional investors contribute to the prosperity of the market, while some bring negative impact on stock market. Whether institutional investors can play a positive role in persisting market safety or not becomes a common focus of investors and regulators. How to ensure fairness and efficiency, standardize institutional investors’investment behavior, promote the security market safety and protect the interests of small and medium investors has become an urgent and important issue.
This paper puts great effort to derive the operational mechanism. Therefore, we carry out this study in several steps: at first, we portrait the composition of institutional investors in China security market; and then, investigate their trading behaviors. In the second, we compare the differences between institutional investors’behaviors and rational hypothesis in the first place, after those integrate macro-level factors’influence; based on this, we explore in-depth impact of institutional investors’trading behaviors on the formation mechanism of the security market. In the third, we discuss investors’protection mechanism in order to provide policy recommendations for supervising institutional investors and constructing market safety. Looking forward to leading institutional investors execute right investment direction, help individual investors to make rational decision-making, as well as provide regulatory authorities to monitor institutional investors with scientific, objective basis. These can standardize the operation of institutional investors, enhance investment value of the capital market, and promote safe and healthy development of Chinese securities market. According to this clue, this paper pays attention to four issues:①characteristics of institutional investors’behavioral in Chinese stock market.②differences among different classes of institutional investors’transaction behaviors.③institutional investors’function on security market safety.④how to booster protection of investors and market safety.
This paper contains seven chapters. Chapter 1 presents problem statement based on the background of practical and theoretical development, defines research objectives and gives a brief description. In this chapter, research ideas and framework also been introduced. In chapter 2, we review some relevant classic theories and empirical studies on domestic and abroad stock markets; then we point out this is an inevitable process for institutional investors appearing in stock market from theoretical perspective; after this, we investigate the mechanism how institutions’investment behavior to influence market safety and clarify the importance of investor protection. Chapter III summarizes the development history of Chinese institutional investors at first, and then carries out quantitative analysis on various classes of investors’status and their investment behavior characteristics. Chapter IV, Chapter V and Chapter VI use China stock market data to study the impact of institutional investors’behavior on stock market liquidity, volatility and effectiveness from the macro-economic and micro-market structure point. Empirical studies reveal that institutional investors’action expands the market volatility and improves liquidity of the stock. But in a bull market, it can inhibit the excessive liquidity; the most important feature is that institutional investors can improve effectiveness of market significantly. This means that institutional investors have a significant influence on securities market safety in recent years. Chapter VII is an analysis of institutional investors’important role in the investor protection; based on this, some suggestions on market safety construction are given.
引文
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