摘要
机构投资者是投资专业化、社会化的产物,对于储蓄集聚并向投资转化、完善上市公司治理、促进证券市场的创新和提高证券市场对经济发展的促进作用等方面都起着举足轻重的作用。机构投资者的兴起是20世纪80年代以来国际金融市场的一个重要特征。随着经济的发展、金融市场的深化以及金融产品的不断创新,以证券投资基金、养老基金和保险公司为代表的机构投资者获得长足的发展,国际金融市场的投资逐步由个人投资者占主体向由机构投资者主导转变。
我国从20世纪90年代建立股票市场以来,股票市场规模迅速扩大,成为仅次于美国的全球第二大股票市场。但是在发展过程中,股票市场出现频繁的大幅波动和严重投机行为,普遍的观点认为个人投资者为主体的投资者结构是导致这一现象的主要原因。发展相对理性的机构投资者以改善投资者结构被认为是解决我国股票市场过度波动的重要途径。为此,管理层着手推动发展机构投资者。经过十几年的发展,机构投资者的种类、数量和规模等都获得跨越式的发展,股票市场基本由个人投资者主导向机构投资者主导转变,但是股票市场的波动并未随着机构投资者的发展而下降。
基于此,有必要深入分析在机构投资者超常规发展和投资者结构多样化发展的过程中对我国股票市场波动的影响,探析不同市场环境中机构投资者的不同表现,研究不同类型机构投资者由于资产负债性质差异而表现出投资行为差异及其对市场波动的影响,为协调发展我国机构投资者、建立有利于市场稳定的多元化机构投资者结构、营造有利于机构投资者稳定功能发挥的市场环境以及管理层有效监管机构投资者等提供科学的决策依据,推动我国证券市场稳定、健康、持续发展。
本文基于中国A股市场,主要采用TARCH模型、平衡面板数据模型和非平衡面板数据模型等实证方法研究机构投资者对股票市场波动的影响。首先,在回顾已有研究的基础上,考察国内外机构投资者发展历程与现状,分析国外机构投资者发展的可供借鉴的经验和市场特征以及我国当前机构投资者发展存在的问题；其次,从有效市场理论和行为金融学两个角度全面分析机构投资者影响市场波动的机理；再次,在理论分析的基础上,从多个角度全面检验机构投资者与股票市场波动关系进行检验；最后在理论和实证分析的基础上提出若干政策建议。
通过研究,获得如下结论：
(1)宏观层面的研究表明,机构投资者规模的扩大并未带来股票市场的稳定,反而加剧了市场的波动。本文通过构造以基金总资产净值占A股流通市值的比例表示的机构投资者相对规模指标,研究发现机构投资者相对规模与股票市场指数波动显著正相关,随着机构投资者相对规模的扩大,股市的波动也增大,说明机构投资者的发展加剧市场的波动。
(2)微观层面的研究表明,在不同的发展阶段,机构投资者对股票市场波动的影响不同。本文根据证券投资基金发展历程把样本期(2003Q4-2011Q3)分为平缓发展阶段、快速发展阶段和调整发展阶段,采用机构持股比例超过5%的样本实证研究发现：①在平缓发展阶段,机构投资者持股比例与上市公司股票收益率波动无关,而机构投资者持股变动则与上市公司股票收益率波动负相关,表明在机构投资者发展初期,具有一定的稳定股票市场的功能。②在快速发展阶段和调整发展阶段,不论是机构投资者持股比例还是持股比例的变动,都与上市公司股票收益波动正相关,表明机构投资者持股加剧上市公司股票收益的波动。
(3)采用非参数方法划分我国股票市场的牛熊市,研究全样本期及不同发展阶段机构投资者持股与股票收益波动的关系,结果表明：①从整个样本期来看,在熊市行情中,机构投资者的参与对股票波动没有影响,而在牛市则加剧了股票市场的波动。②分阶段考察发现,在平缓发展阶段,机构投资者对股票市场的稳定作用主要表现在牛市中,而熊市行情中则基本没有影响；在快速发展阶段,不管是牛市还是熊市,机构投资者都是股市的大涨大跌的助推器,持股比例越高,股票波动越大,持股变动越大,波动也越大；在调整发展阶段,没有发现机构投资者在熊市中对股票波动产生影响的证据,但是在牛市中依然是导致股市剧烈波动的一个重要因素。
(4)通过细分机构类型研究不同的机构投资者的投资行为对股票市场波动影响的差异,结果发现：①从整体上看,仅保险公司和QFII的投资行为一定程度上有利于市场稳定,但是不明显；而证券投资基金、社保基金、券商则对市场波动具有推动作用,其中社保基金的回归结果与理论分析存在差异,理论分析认为社保基金对稳定股票市场具有重要的作用,但实证结果表明社保基金一定程度上也加剧我国股票市场波动,其可能原因是社保基金对股市的投资主要是通过委托证券投资基金进行的,投资行为必然带有证券投资基金的特征。②不同市场行情下的研究表明,机构投资者加剧市场波动主要表现在牛市中,其中证券投资基金、社保基金持股比例越高,股票波动越大。以持股变动为解释变量的回归结果表明,不管是在牛市还是熊市,证券投资基金的持股变动都加大股票收益的波动,而保险公司在熊市中的交易行为则加大股票收益的波动。③在暴涨的市场行情中,证券投资基金和券商起着明显的推波助澜的作用,主要委托证券投资基金进行投资的社保基金的交易行为也加剧股票市场波动；在暴跌行情中则所有的机构对股票市场波动都没有影响。
本文的创新之处主要有以下四点：
(1)宏观层面,采用相对规模指标研究机构投资者与股票市场波动的关系。现有宏观方面的相关研究主要从两个角度对机构投资者与股票市场波动关系进行检验：一是机构投资者入市前后股市波动是否发生变化；二是机构投资者规模的变动是否影响股市波动。已有的研究主要采用绝对规模(一般为证券投资基金总资产净值)度量机构投资者规模,而机构投资者资产规模增加的同时股票市场规模也不断扩大,因此,在研究中采用绝对规模无法准确反映机构投资者对股票市场的影响程度。本文在已有研究的基础上,构造一个相对规模变量,从宏观的角度研究机构投资者相对规模与股票市场波动的关系,进而考察超常规发展机构投资者是否稳定了市场。
(2)微观层面,采用机构投资者持股超过一定比例的上市公司为样本研究机构投资者持股比例及其变动对股票收益波动的影响,并根据机构投资者发展特征分成三个阶段进行检验。已有的微观层面的研究主要从机构投资者持股比例与股票收益波动关系的角度进行考察。但是这些研究并未区分机构投资者持股比例的高低,把全部样本纳入研究范围,而机构投资者影响上市公司股票收益率波动的前提条件是机构投资者的持股对上市公司具有足够的影响力,对于机构投资者持股比例很低的股票来说,机构投资者对其影响有限,个人投资者依然是股票波动的主导力量。被机构投资者高比例持股的上市公司由于机构投资者深入的研究,信息更为透明,机构投资者更可能参与上市公司的治理和监督,对上市公司股票收益率及其波动的影响更大。因此,对机构持股高于一定比例的上市公司进行研究能更准确发现机构投资者持股对上市公司股票波动的影响。
(3)区分牛熊市研究不同市场行情下机构投资者对股票收益波动影响。不同市场行情下投资者的行为存在差异,机构投资者也不例外,已有的研究基本只对整个样本期进行研究,很少区分不同的市场行情研究机构投资者对股票市场波动的影响,或者对牛熊市行情的界定并没有严格的统计标准。本文借鉴Pagan和Sossounov (2003)提出的非参数判断方法,根据上证综合指数对我国股票市场牛市和熊市进行划分,并根据证券投资基金发展历程把样本期划分为三个时期,研究不同市场行情、不同发展阶段机构投资者持股及其变动对股票市场波动的影响。
(4)细化研究我国股票市场主要类型机构投资者行为差异对股票收益波动的影响。现有的研究一般都把机构投资者作为一个整体进行研究,而市场上的机构投资者由于其资产负债性质差异,资金来源不同,投资理念和策略也不同,市场的影响也就存在差异。本文细化研究不同类型的机构投资者对股票收益波动的影响,为管理层协调不同类型机构投资者发展、优化机构投资者内部结构、出台针对性政策提供理论依据。
Institutional investors are the development result of professional and social investment. It plays a decisive role in the conversion of savings to investment, improving the governance of listed companies and promoting the innovation of securities market. The rising and developing of institutional investors is an obvious feature of the international financial markets since the1980s. With the rapid development of world economy, the deepening of financial markets and the innovation of financial products, the institutional investors obtains a substantial development such as public funds, pension and insurance companies. With the development of institutional investors, the dominance of the international financial markets changed from individual investors to institutional investors.
China established its stock market in the early1990s. With the rapid development of Chinese economy and the securities market, the size of Chinese stock market expanded rapidly and become one of the world's second biggest stock market, second to the USA. But the stock market show frequent fluctuations and serious speculation in the process of development. It is well recognized that one of the most important reason is unreasonable investor structure in which the individual are the main investors. Raising the proportion of institutional investors which are more rational than individual investors is considered to be an important way to solve the problem of excessive volatility in Chinese stock market. Therefore, the government started to promote the development of institutional investors. After more than a decade of development, the quantity and type of institutional investors are increasing and the size of its assets expanded. The institutional investors become the dominant power in Chinese stock market, but the volatility of stock market did not become lower as the people expected.
Therefore, the impact of institutional investors to the stock volatility in the process of its rapid development and the forming of diversified investors'structure is a significant issue for study. This study includes the analysis of the different impact on stock volatility because of different proportion of institutional investors'holdings, different market environments, and different types of institutional investors. This study will provide a solid basis for the supervisor to make the policy which will promote the development of institutional investors with a reasonable structure and stabilize the stock market. The Chinese stock market will develop stably, healthily and sustainably.
By using TARCT model, balanced panel data model and unbalanced panel data model, this paper study the impact of institutional investors to stock market volatility based on China's A-share market. In the first part of this article, a literature review was presented. Then, this paper made a study on the development process and the current situation of institutional investors in china and overseas. In the third part, this paper analyzed the mechanism of institutional investors affect market volatility based on Efficient Markets Hypothesis and behavioral finance. Based on the former theoretical analysis, the relation of institutional investors and stock market volatility is comprehensively test by empirical method from various perspectives. At the last part of this paper, policy recommendations were presented on the basis of theoretical and empirical analysis.
Following is the conclusions:
(1) Macro-level study shows that the expansion of institutional investors'size did not accompany with the more stable stock market. In the contrary, it increases the volatility.
By constructing institutional investors relative size index represented by ratio of the total net assets of funds and A-share market total tradable value, the study found that there is a significant positive relation between the institutional investors'relative size and the stock market volatility. The volatility of stock market increases with the expansion of the institutional investors'relative size. This result shows that the institutional investors make the stock market more volatile.
(2) Micro-level study shows that in different stages of development, the relation between institutional investors and stock market volatility is different.
Based on the development of funds, sample period is divided into three stages. By using the sample with more than five percent of its shares are held by institutional investors, the study show that:(i) In the flat stages of development, the volatilities of stock return are unrelated to the institutional holdings, but correlation of the change of institutional holdings and the stock return volatility is negatively. This shows that the institutional investors play a stable role in the flat stage.(ii)In the rapid development stage and adjustment stage, both the institutional holdings and its changes are positively correlated with the volatility of stock returns, indicating that institutional investors holdings exacerbate the volatility of stock returns.
(3) The relation of institutional investors and stock volatilities is different in bull markets and bear markets.
Dividing the period into bull and bear market by using non-parametric method, the paper examine the relation between institutional investors and stock return volatilities in full sample period and different stages of development under different market environment. The regression result shows that:(i) In the full period, institutional investors have no impact to stock volatility in bear market, while in bull market institutional investors'behave exacerbates the volatility of stock market.(ii) Phased study found that the stabilization effect of institutional investors mainly appeared in bull market during the flat stages. The study of rapid-development stage shows that institutional investors make the stock market more volatile both in bull market and bear market. The more the institutional holds, the higher the volatility. There is no evidence shows that the institutional investors fluctuate the stock market in bull market during adjustment stage, but they are still the main force that make the market more volatile.
(4) The study on different types of institutional investors respectively show that the impact of different type of institutional investors on stock volatility is different.
(i) In full sample period, only the investment behaviors of insurance companies and QFIIs decrease the stock volatility, but it is not significant. The behaviors of other three institutional investors increase the volatility,(ii) The study based on different market conditions show that in bear market the funds and pension exacerbate the volatility. There is also weak evidence show that QFII increases the volatility. The regression based on the changes of institutional holdings show that the transaction of funds fluctuate the market both in bear and bull market. In the bear market the transaction of insurance companies also destabilize the market.(iii) Funds,pension and securities companies behavior increase the volatility in the soaring market. In the collapse market, there are no affect in all types of institutional investors.
The innovation of this paper:
Firstly, this paper uses relative size of institutional investors as index to study the relation of institutional investors and stock market volatility. Secondly, unlike other literatures using all the listed companies which are held by institutional investors as samples, this paper uses the samples which are institutional investors with more than certain proportion. Thirdly, this paper determine bull market and bear market by using non-parametric method and test the relation between the institutional investors and stock market volatility in different market conditions. Fourthly, instead of hold the institutional investor as a whole in the study, this paper studies the main types of institutional investors respectively.
引文
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