機(jī)構(gòu)投資者行的為研究對(duì)金融體系穩(wěn)定性沖擊的分析報(bào)告-文庫(kù)吧
2025-06-07 15:47 本頁(yè)面
【正文】 立體式投機(jī)方式的投機(jī)原理。并以 年英鎊投機(jī)和 年泰國(guó)投機(jī)為例分析了機(jī)構(gòu)投資者投機(jī)行為如何導(dǎo)致金融危機(jī)的發(fā)生。最后,結(jié)合一般傳染理論,分析了機(jī)構(gòu)投資者全球資產(chǎn)配置與金融危機(jī)國(guó)際傳染的關(guān)系。在總結(jié)以前理論模型的基礎(chǔ)上,本文改變了以前模型著重于導(dǎo)致機(jī)構(gòu)投資者資產(chǎn)配置發(fā)生調(diào)整的因素的分析,集中探討了機(jī)構(gòu)投資者跨國(guó)組合投資導(dǎo)致金融危機(jī)傳染的作用機(jī)理。指出機(jī)構(gòu)投資者跨國(guó)組合投資,導(dǎo)致金融危機(jī)傳染的三個(gè)渠道:收入效用,替代效用和信息效用。而收入效應(yīng)和替代效應(yīng)是以投資者財(cái)富的改變?yōu)榍疤岬?即所謂的“財(cái)富效應(yīng)”。信息效用主要影響市場(chǎng)參與者的預(yù)期。本文借助幾個(gè)模型探討了機(jī)構(gòu)投資者行為的財(cái)富效應(yīng)和信息效用在金融危機(jī)傳染中的作用。同時(shí)發(fā)現(xiàn)這些正是機(jī)構(gòu)投資者羊群行為和正反饋交易機(jī)制的跨國(guó)效應(yīng),也可以說(shuō)是機(jī)構(gòu)投資者在國(guó)際金融市場(chǎng)上的羊群行為和正反饋交易機(jī)制的結(jié)果。在新興市場(chǎng)開(kāi)放過(guò)程中,機(jī)構(gòu)投資者充當(dāng)了急先鋒的角色。許多新興國(guó)家通過(guò)積極引進(jìn)外國(guó)機(jī)構(gòu)投資者促進(jìn)本國(guó)證券市場(chǎng)國(guó)際化。本文第六章以新興市場(chǎng)開(kāi)放為出發(fā)點(diǎn),指出外部機(jī)構(gòu)投資者的引進(jìn),在給新興市場(chǎng)帶來(lái)積極作用的同時(shí)也VII導(dǎo)致新興市場(chǎng)易變性增加。把新興市場(chǎng)看作是一種獨(dú)立類(lèi)型資產(chǎn)的資產(chǎn)配置策略、導(dǎo)致新興市場(chǎng)定價(jià)效率降低等多個(gè)方面,外部機(jī)構(gòu)投資者的行為增加了新興市場(chǎng)的易變性。同時(shí)新興市場(chǎng)在經(jīng)濟(jì)發(fā)展、市場(chǎng)深度、廣度、制度完善等各個(gè)方面相對(duì)成熟市場(chǎng)還有很大差距,這又進(jìn)一步強(qiáng)化了機(jī)構(gòu)投資者的羊群行為和正反饋交易對(duì)市場(chǎng)資產(chǎn)價(jià)格和流動(dòng)性的影響。文章還分析了外國(guó)機(jī)構(gòu)投資者的投機(jī)操縱、羊群行為、正反饋交易機(jī)制在新興市場(chǎng)危機(jī)產(chǎn)生、發(fā)展和國(guó)際傳染中的作用。并從機(jī)構(gòu)投資者行為角度對(duì) 年墨西哥金融危機(jī)進(jìn)行了重新闡釋,以具體危機(jī)事實(shí)揭示了機(jī)構(gòu)投資者行為在危機(jī)中的作用。第七章介紹了證券市場(chǎng)開(kāi)放背景下,我國(guó) 制度的引進(jìn)?？偨Y(jié)了 在我國(guó)資本市場(chǎng)投資行為的現(xiàn)狀和特征,可以發(fā)現(xiàn) 在中國(guó)市場(chǎng)投資雖然和在國(guó)外成熟市場(chǎng)相比有一些不同,但沒(méi)有證據(jù)表明其利用資金和信息優(yōu)勢(shì)進(jìn)行“故意性”的市場(chǎng)操縱。雖然投資行為中出現(xiàn)了快進(jìn)快出、短期性概念炒作等行為,總體上來(lái)說(shuō)仍然采取了價(jià)值性投資理念。本文分析了 的投資持倉(cāng)比例、持倉(cāng)市值變動(dòng)和 股市場(chǎng)上證指數(shù)走勢(shì)趨向之間的關(guān)系,發(fā)現(xiàn) 持倉(cāng)比例和持倉(cāng)市值變動(dòng)有助于防止大盤(pán)上升過(guò)快,具有穩(wěn)定市場(chǎng)的功能。文章還采取實(shí)證方法對(duì) 在國(guó)內(nèi)股票市場(chǎng)上的羊群行為進(jìn)行了檢驗(yàn),發(fā)現(xiàn) 確實(shí)存在羊群行為,但羊群行為度同國(guó)內(nèi)基金相比比較小,和其在國(guó)外市場(chǎng)的羊群行為度基本持平。因此,總體來(lái)說(shuō) 遵循了價(jià)值投資的理念,沒(méi)有對(duì)我國(guó)市場(chǎng)穩(wěn)定性造成太大影響。文章還進(jìn)一步分析了 對(duì)我國(guó)經(jīng)濟(jì)潛在的風(fēng)險(xiǎn)因素,并在 年管理制度改革的基礎(chǔ)上,提出進(jìn)一步完善我國(guó) 制度的建議。關(guān)鍵詞 機(jī)構(gòu)投資者 羊群行為 正反饋交易 金融危機(jī)VIIIABSTRACT The international financial market is characterized by the rapid development of institutional investors. Global portfolios not only promote the allocation of worldwide resources but also make the global finance system more fragile than beforeMeanwhile, international financial market bees to be dominated by institutional investors. Capital market, which is different from bankleading market, responses rather rapidly, widely and directly to basic factors like risk. From 1990s the frequent financial crisis outbreak on capital market , which cause the scholars pay more attention and do more research on the financial market institutionalizingThe trend of organization in the global financial market impacts the stability of financial system by the following three ways: first, capital flow, induced by the capital allocation of institutional investors, accelerates finance globalization and increases system risk of global financial system。 second, by analyzing structures and characteristics of balance sheets of banks and funds, we can judge whether the trend of organization increases or decreases the financial system risk。 third, in the view of institutional investors, the author make research on how institutional investors affect financial system. Following a way of analyzing from general to special, from global financial market to emerging markets like China, the author do research on this issue in a microcosmic viewThis paper mainly including the following context: The abstract introduce the background of the article, pointing out a phenomenon that institutional investors, as the new leader of the financial market have taken place of the mercial banks in all aspects whether from the scale of assets or the speed of development. The security market, especially in emerging countries witness a globalization trend. Acpanied by this phenomenon, the institutional investors change previous “ home biased” asset allocation philosophy and invest more fund on global portfolios. The behavior of institutional investors convenient world capital freedom , attributing the optimal allocation of fund. Meanwhile they also enhance more fragility of finance system and trigger the financial crisis. Owing to small scale and low ratio of domestic shareholder value to global capital market, the emerg
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