全国社保基金投资操作对市场的影响研究

上海交通大学硕士学位论文全国社保基金投资操作对市场的影响研究姓名：刘博申请学位级别：硕士专业：金融学指导教师：刘海龙20091201AttTHERESEARCHOFINFLUENCEONTHECAPITALMARKETOFNATIONALSOCIALSECURITYFUNDINVESTMENTOPERATIONSABSTRACTAsoneofthebiggestinstitutionalinvestors,eachoperationbyNationalSocialSecurityFund(NSSF)isnoticedbyalmostallsidesofcapitalmarket.Becauseofoutstandinginvestmentperformance,hugeassetandlowrisk-bearingcapability,theinvestmentofNSSFisalwaysconsideredasmarketinvestmentvane.ThisthesisdidtheresearchoftheinfluenceonthecapitalmarketofbuyingandsellingstocksbyNSSFandtheinfluenceperiodbyusingstatisticalruleandt-testmethodaimingtovalidatewhetherNSSFhasthefunctionofinvestmentvaneandatthesametimegivesomeinvestmentsuggestionstootherinvestors.BecauseNSSFhascharacteristicsofconservative,long-termandvalue-orientedinvestmentstyle,itwillhelptostabilizethecapitalmarketandleadthemarkettochangefromspeculationtorealinvestmentifcancorrectlyguideinvestors.Ittakestheinitiativeoftopicinthisthesisandalsoithasgivenanewwaytosolvesuchproblemsbyusingstatisticalrulemethod.TheresultindicatesthatbuyingstockbyNSSFdoeshavetheeffectofmarketinvestmentvane,i.e.,itwillattractotherinvestorstofollow.Itmostlyhappensinthe4thseasonand7thseasonaftertheirbuyingoperation.Thisshowsthatthebuyingoperationhasmid-longtermeffectonthemarket.Besides,theoperationofbuyingmoreproportionalunlimitedshareshasmoreinfluenceonthemarket.TheoperationofsellingstockbyNSSFhaslittleinfluenceandithasshorttermeffectofjustoneseasonaftersellingoperation,i.e.,thestocksoldbyNSSFfallsrelativelytostockindexafteroneseasonofsellingoperationbyNSSF.Furthermore,theinfluenceonthecapitalmarketofsellingoperationbySSFhasnodifferenceinbullandbearmarketandsodoesbuyingoperationinthebullmarket.Butthebuyingoperationhasthecharacteristicthatithasmostinfluenceonthemarketafter4thseasonofbuyingoperationinthebearmarket.KEYWORDS:Socialsecurityfund,Buystock,Sellstock,Statisticalrule,T-test1......................................32......................................33................................................................................1442000-2009.........................................185............................................................196200910....................................2272001-2008.................................................................248t.............................................399t.................................4110t...............................4211t...........................................4912t...............................5113t...............................521....................................................................152....................................................................173............................................184............................................................235111............................................286........................................................337................................348............................................359............................................3610t...............3711t.......................................4012t.......................................4113..............................................................4314t...................................................................4415......................................................4616..............................4617..........................................4718..........................................4819t...............4920t.......................................5021t.......................................5122..............................................................5323t...................................................................54□□“√”–1–11.11.1.1A2003640%200961913183.94639.33200910700020091028201012003660070020089002009630512–2–20099.99%200823009%200720071129.2043.19%200619642007931.2877.3520067162007161242006720071016771061242007172137330.47294.2820083200710612470%2026.147.782.352008A20081087.789.112008314510.1387.52200811812007–3–10020088200811140200865%3906.75%81.1.2wind1wind2–4–121.1.31.21.2.11–5–ShillerandPound1989Banerjee1992BikhchandaniHirshleiferandWelch1992[1][2][3]DeLongShleiferSummersandWaldmann1990[4]Friedman1984[5]FriendBlumeandCrockett1970[6]KrausandStoll1972[7]LakonishokShleiferandVishny1991769[8]2095–6–2BadrinathGayandKale1989[9]Cohenetal.2002[`10]BarberOdean2003[11]MartinT.BohlJanusBrzeszczynski2006[12]ArbelCarvellandStrebel1983[13]GompersandMetrick2001[14]FaugèreShawky200320003846.23%[15]ChopraLakonishokandRitter1992[16]–7–ChanandLakonishok1993[17]LakonishokShleiferandVishny1994Sias1996[18]GabaixGopikrish-nanPlerouandStanley2005[19]Sias1996[20]3Wermers1999[21]NofsingerandSias199928%[22]GrossmanandMiller1988[23]FrenchandRoll1986BarclayLitzenbergerandWarner1990DennisandWeston2001[24]CutlerPoterba–8–andSummers1990[25]HongandStein1999[26]SiasStarksandTitman2001[27]4ChanandLakonishok1995[28]ChiyachantanaJainJiangandWood200419971998200119[29]KrausandStoll1972KeimandMadhavan1996[30]ChiyachantanaJainJiang