我国机构投资者投资行为研究.pdf

华 中 科 技 大 学 硕 士 学 位 论 文 摘 要 在宏观经济持续高速发展的良好形势下，目前我国正逐步走上投资机构化的发 展道路，无论是管理资产占 GDP 的比重，还是持有流通股比重，都大幅增长。但是 我国机构投资者普遍存在过于注重短期利益、风险意识淡漠的现象，这给市场的发 展和公众委托人的利益造成了重大的损失和隐患。 本文采取规范分析的研究方法，对近年来我国主要的五大机构投资者：证券投 资基金、券商、合格的境外机构投资者、社保基金及保险公司分别进行了投资策略 和投资行为的分析。并在此基础上借鉴最近的行为金融理论，揭示了我国机构投资 者尤其是证券投资基金，具有明显的有限理性特征，在其投资行为中具体表现为股 票价格操纵投机和羊群行为。 为了规范机构投资者的投资行为、引导其进行谨慎投资，并为监管层、决策层 的政策制定与监管实施提供参考，针对上述问题，本文提出了三点建议：夯实法律 制度基础，引导机构谨慎投资；发展和培育我国机构投资队伍；发展基金的外部竞 争市场。 关键词：机构投资者 投资策略 羊群行为 I 华 中 科 技 大 学 硕 士 学 位 论 文 Abstract With the rapid development of macroeconomy, China is on the way to gradually institutionalize its investment. Investment intuitions have been achieving significant leaps, whatever on the proportion of holding the tradable shareholders, or on the manageable assets. Chinese institutional investors, however, always excessively focus on short term benefit, and neglect the risk, which results in significant danger for the development of the stock market and wealth of the public client. This paper analyses five kinds of institutional investors, which are stock investment fund, insurance company, qualified foreign institutional investors, social security fund and stock dealers, respectively, from 2007 to 2008 based on normal analytical method. Moreover, we reveal that the institutional investors in China are commonly bounded rational which is a widely accepted concept in behavioral finance, especially the stock investment fund. These organizations always consciously manipulate the stocks ’ price, and speculate on the stock market when there are irrational behaviors on the market by the means of the individual investors ’ herd