【作者】 魏巍；

【导师】 殷孟波；

【作者基本信息】 西南财经大学 ， 金融学， 2007， 博士

【摘要】 20世纪70年代以来,随着金融业社会分工的不断演进,以养老基金、保险基金、投资基金为代表的机构投资者迅猛发展,全球主要资本市场的投资主体结构中机构投资者的比重不断增加,带来了资本所有权的日益集中,并且资本市场成熟化程度越高,投资机构化的发展趋势就越显著,从而这一趋势引发了理论界对机构投资者与日俱增的关注。在金融全球化和经济一体化的当今时代,机构投资者的崛起正在逐步改变金融市场的结构和行为,机构投资者和上市公司作为金融市场中的两大主体,两者之间的关系也正在发生微妙地变化。这些变化不仅影响某些发达国家和地区,而且在转型国家和发展中国家也以一种“先进制度”的形式被借鉴和接受。然而,这些变化来得过于迅猛,以至于人们还来不及看清楚它可能对经济产生的影响,因此它的真实效用是值得研究的。中国的资本市场成立虽不过十几个年头,但发展迅猛,已成为国民经济生活中不可或缺的重要组成部分。近年来资本市场上引人注目的是,在发达国家机构投资者快速发展的示范下,中国证监会提出了“超常规发展机构投资者”的战略构想,在这样的发展思路主导下,我国以证券投资基金为代表的机构投资者近年来迅猛发展。在2005年第四届中国证券投资基金国际论坛上,证监会主席尚福林表示,目前我国机构投资者发展迅速,证券投资基金规模稳步增长,市场主体行为规范化水平不断提高,整个基金行业处于健康发展的态势。同时,QFII、保险资金、社保基金、企业年金等各类机构投资者队伍日益壮大,初步形成了多元化的机构投资者格局,为促进证券市场的规范、健康、稳定发展起了重要作用。然而,在机构投资者大发展的同时,其在资本市场所应体现的维护市场稳定、促进金融创新、优化公司治理等积极作用是否得到发挥却是值得深思的,同时人们发现机构投资者出现了一些问题,有些是意料外的新问题,有些则是一些老问题在一些新型机构投资者身上重演,机构投资者利用市场的缺陷、蓄意违规违法,从而达到中饱机构管理人私人利益的行为时有发生。例如政府大力培育的机构投资者的代表证券投资基金,在发展过程中,暴露出种种问题,《基金黑幕》(张志雄,2000)中的骇人现象并不是耸人听闻。机构投资者的负面影响一次又一次地为市场带来了阵阵的创痛,这对本就脆弱的中国资本市场来说,恰似雪上加霜。由此人们不得不对机构投资者的问题回过头来仔细思考,此时我们才发现其实我们对机构投资者的功能、作用、机制等等方面并无系统、全面的研究。长期以来经济学家普遍没有把投资者的行为作为资本市场效率分析框架中的一个重要变量,由此不但导致对资本市场效率的片面理解,也导致人们忽视了机构投资者对资本市场的影响。直到近年来行为金融理论日益崛起及其对主流金融学的挑战,人们才逐渐发现机构投资者的行为事实上对资本市场的效率有着重大影响,越来越多的经济学家认识到机构投资者的行为可以极大地影响证券价格。因此对于机构投资者对资本市场效率的影响有必要作出全面系统的研究,本文正是基于这一考虑而作的研究,旨在全面深入分析机构投资者对资本市场效率的真正影响,为我国资本市场的健康发展,促进机构投资者对中国资本市场效率积极作用的发挥,实现机构投资者与中国资本市场良性互动作一些有益的探索。全文共分八章。第一章导论介绍了本文选题的背景和意义、相关问题的国内外研究现状,并对本文的研究对象、研究方法、创新与不足之处加以阐述。第二章阐述资本市场效率理论。在分析了传统经济学和新制度经济学分别对效率、经济效率以及资本市场效率定义的基础上,对资本市场效率这一概念进行了重新界定,将资本市场效率界定为通过资本市场筹集资金,从而引导资源有效配置,促进社会福利最大化等方面行为过程的特征表现与功能实现程度。在此基础上重新划分了资本市场效率所包含的层次,将资本市场效率划分为运行效率、定价效率和资源配置效率三个层次,同时构建了一个新的衡量资本市场效率体系。回顾了包括有效市场假说以及其后发展出来的金融噪声理论、行为金融理论、分形市场假说与协同市场假说等关于资本市场效率的理论。第三章是论述机构投资者的界定、分类及其经济法律特征,重新界定了机构投资者的概念,将机构投资者定义为进行金融意义上投资行为的非个人化、也即职业化和社会化的团体或机构。它包括用自有资金或通过各种金融工具所筹资金在资本市场对债权性工具或股权性工具进行投资的非个人化机构。同时探讨了机构投资者的种类及各自特点,就机构投资者的经济、法律特征进行了分析,指出机构投资者是一种集合投资,从法律上来说是一种契约关系,机构投资者具有比较特殊的两级契约关系,机构投资者的委托代理问题是理解其行为的一个关键因素。第四章分析机构投资者对资本市场定价效率的影响。在分析了资本市场定价效率重要性的基础上从理论上分析了在理性预期均衡理论、散户为噪音交易者而机构投资者理性、散户为完美理性预期的交易者而机构投资者有限理性三种不同的理性程度假设框架下,机构投资者对资本市场定价效率的影响,阐明了机构投资者理性程度决定了其对资本市场定价效率的影响,进而通过选取我国相关数据,运用GARCH模型对我国机构投资者预测市场的能力进行实证分析来判断我国机构投资者的理性程度,在此基础上结合理性预期和行为金融学有关理论,讨论机构投资者对资本市场定价效率的影响,指出现实中机构投资者的有限理性使资本市场定价效率受到削弱,在此基础上对机构投资者有限理性的原因进行了分析。第五章分析机构投资者对资本市场资源配置效率的影响。对资本市场资源配置效率含义进行了概括,将资本市场资源配置效率概括为资本市场是否能通过价格机制,将金融资源从储蓄者手中向生产者手中转移,引导资金朝向能使资金产出最大化的企业配置,从而实现稀缺资源的有效利用。通过对资本市场优化资源配置路径的分析将机构投资者参与公司治理与资本市场资源配置效率联系起来,通过分析指出机构投资者影响资本市场资源配置效率主要是通过参与公司治理,促进公司绩效提高实现的,并通过分析机构投资者参与公司治理的动因、途径、对公司绩效的影响以及制约机构投资者参与公司治理的因素进一步探讨了机构投资者是如何通过参与公司治理影响资本市场资源配置效率的以及对资本市场资源配置效率能够产生什么样的影响。第六章分析机构投资者对资本市场运行效率的影响。通过分析已有的研究成果给出了资本市场运行效率的定义:资本市场的运行效率是指资本市场为了实现其所具有一定的资金筹集功能和价格发现功能等主要功能,任何运行方式的变化会导致运行成本增加,造成现有资本市场功能减弱的这样一个状态。在此基础上分析了资本市场运行效率与其他效率的关系,并通过分析交易成本与资本市场运行效率的关系指出交易成本是影响资本市场运行效率的决定性因素,进而分析机构投资者对于资本市场交易制度创新的促进作用,得出了机构投资者有助于降低资本市场交易成本,提高资本市场运行效率的结论。第七章对中美机构投资者对资本市场效率影响进行了比较。通过对中美两国资本市场上机构投资者的作用进行实证分析,阐述了中美机构投资者对资本市场效率的不同影响,分析结果表明虽然两个国家经济实力不同,资本市场发达程度差异极大,由此机构投资者所处的环境完全不一样,但通过考察发现两国机构投资者都在一定的条件下对本国资本市场定价效率产生了一定的消极影响,差别则在于由于资本市场制度环境和制度安排的不同,因此机构投资者对资本市场的危害程度不一;在对资本市场资源配置效率的影响方面,美国机构投资者通过积极参与公司治理对本国资本市场资源配置效率起到了一定的促进作用,中国机构投资者则出于种种原因还未对上市公司的公司治理形成显著影响,从而对资本市场资源配置效率的影响也甚微;在对资本市场运行效率的影响方面,两国机构投资者都带来了一定的积极影响。第八章针对上述的研究,对如何促进我国机构投资者健康发展提出政策建议及对策:完善我国资本市场制度安排,协调监管机构投资者,规范和优化机构投资者行为,强化合格机构投资者队伍建设,促使机构投资者在资本市场上发挥出积极作用,推动资本市场效率的不断提高。更多还原

【Abstract】 Since the 20th century 70’s, along with the financial industry social division of labor unceasing evolution, institutional investors, for example the superannuation fund, the insurance fund and the investment fund are developing rapidly. On the main capital market in the world institutional investor’s proportion have increased unceasingly. The changes brought the right of capital property ownership daily centralism. And the mature degree of capital market is higher, the trend of investment institutional development is more remarkable. Thus this tendency has initiated the theorists to pay attention to institutional investor more and more. In the present era with financial globalization and economic integration, institutional investors are gradually changing the structure and the behavior of financial market. As the two principal part of financial market, the relations between institutional investor and corporation are changing subtly. The changes not only effect certain developed countries and area, but also are accepted in reforming country and developing nation as one kind advanced system. However, these changes came too swiftly and violently, so that people has not enough time to discern the possible influence brought by these changes. Therefore its real effectiveness is worth studying.Although China’s capital market established several years, it develops rapidly and has become the indispensable important constituent in the national economy life. In recent years in the capital market, with the demonstration of rapid development of institutional investors in the developed country, China Securities Regulatory Commission proposed that we should develop institutional investors transnormally. With the development mentality, in recent years institutional investors in our country, for example securities investment fund, are developing rapidly. In 2005 at the fourth session of Chinese negotiable securities investment fund international forum, the president of China Securities Regulatory Commission, Shang Fulin, indicated that, at present institutional investors of our country develop rapidly, the scale of negotiable securities investment fund grows with steady steps, the standardization level of behavior of principal part in market enhances unceasingly, the whole fund industry is healthily developing. At the same time, all kinds of institutional investors, QFII, insurance fund, society guarantees fund, enterprise annuity and so on are developing day by day. The multiplex pattern of institutional investors has been initially formed. These promoted securities market standard to develop healthily and steadily. However, with developing greatly, whether the positive influence of institutional investors on capital market for example maintaining market, promoting financial innovation, optimizing corporate governance is realized is actually is worth considering deeply. Simultaneously people discover that institutional investors have some problems, some are unexpected new problems, and some are unsolved problems repeating on some new institutional investors. Institutional investors’ negative influence brought market suffering intermittently. To frail capital market in China, this is just like originally one misfortune after another. Because of this people have to ponder the problems about institutional investors carefully. This time we only then discovered that actually we have no comprehensive and systematical research to institutional investor’s function, influence and mechanism.Since long ago economists universally has not taken investors’ behavior in analysis frame of capital market efficiency as an important variable. Therefore this not only caused one-sided understanding on capital market efficiency, but also caused economists to neglect the influence of institutional investors on capital market. Until behavior finance theory rose gradually in recent years and challenged mainstream finance theory, it is discovered gradually that institutional investors’ behavior in fact had the significant influence on capital market efficiency. More and more economists realized that institutional investors’ behavior might influence the negotiable securities price enormously.Therefore there is necessity to rearch systematically and comprehensively the influence of institutional investors on capital market efficiency. Based on the consideration this article will research the question for the purpose of analyzing comprehensively the true influence of institutional investors on capital market efficiency. I hope the study can help to promote capital market in our country to develop healthily, promote institutional investors to display positive role to Chinese capital market efficiency, and realize the benign effect on each other between institutional investors and Chinese capital market.The article is divided eight chapters.The first chapter introductory introduced the background and the significance of the article, present situation of the domestic and foreign research on interrelated question. And this chapter also elaborated the object of the study, the research methods, the innovation and the deficiency of this article.The second chapter elaborates the theory of capital market efficiency. On the foundation of analyzing the definition of efficiency, economic efficiency and capital market efficiency of traditional economic and new system economic, the article defined newly the conception of capital market efficiency. The conception was defined as the characteristic performance and the degree of function realized by collecting fund in capital market, thus guiding resources allocated effectively and promoting the maximization of social welfare. On this foundation the level that capital market efficiency contains has been divided into three levels :operating efficiency, pricing efficiency and allocating resources efficiency. Simultaneously it has constructed a new weighting capital market efficiency system. We reviewed effective market hypothesis and theory developed after that including, financial noise theory, behavior finance theory, fractal market hypothesis and coordinated market hypothesis and so on, which belong to capital market efficiency theory.The third chapter elaborated the signification, classification and economical legal characteristic of institutional investors, defined newly concept of institutional investors, which been defined as the non-personalized institution that invest own fund or capital raised by financial tool to various creditor’s rights tool or the stockholder’s rights tool in capital market. Simultaneously it discussed the type and respective characteristic of institutional investors. It also analyzed the economic and legal characteristic of institutional investors and pointed out that institutional investors are one kind of set investment, which are one kind of contractual relationship in law, institutional investors have two levels of contractual relationship which is the quite special, principal-agent question of institutional investors is a key aspect understanding its behavior.The fourth chapter analyzed the influence of institutional investors on pricing efficiency of capital market. On the foundation of analyzing the essentiality of pricing efficiency capital market, it analyzed theoretically the influence of institutional investors to capital market pricing efficiency in the frame with three kinds of different rational degree supposition: rational anticipating balance theory, not rational odd dealers and rational institutional investors, rational odd dealers and limitedly rational institutional investors. And it expounded that the rational degree of institutional investors decided the influence on pricing efficiency of capital market. Then through selecting our country correlated data, by using the GARCH model to analyze the ability of forecasting market of institutional investors in our country, judged the rational degree of institutional investors in our country. On this foundation relating rational anticipating theory and behavior finance theory we discussed the influence of institutional investors on pricing efficiency of capital market, and pointed that limited rationality of institutional investors causes pricing efficiency of capital market to be weakened in reality. Then it analyzed the reason of limited rationality of institutional investors.The fifth chapter analyzed the influence of institutional investors on allocating resources efficiency of capital market. It generalized the signification of allocating resources efficiency of capital market, summarizes allocating resources efficiency of capital market for capital market whether can shift financial resources from the deposits’hand to the producers’hand by price mechanism, guide fund to be allocated to enterprise that can bring maximized output, thus realize effective using of scarce resources. Through analyzing the process of capital market optimizing resources allocation, it related institutional investors, which participated in corporation governance with allocating resources efficiency of capital market. After the analysis it pointed that institutional investors influenced allocating resources efficiency of capital market mainly by participating in corporation governance and promoting benefit of corporation. And with analyzing the cause, the approach, the influence of institutional investors on benefit of corporation and the restrictive factors of institutional investors participating in corporation governance, it ulteriorly discussed that how institutional investors influenced allocating resources efficiency of capital market by participating in corporation governance.The sixth chapter analyzed the influence of institutional investors on operating efficiency of capital market. Through analyzing researched productions it defined operating efficiency of capital market as the state that in order to realize capital market’s main functions for example collecting fund and finding price, any change to operating mode will cause operating cost to increase, result in existing functions of capital market weakened. And on this foundation it analyzed the connection between operating efficiency of capital market and other efficiency. And through analyzing the connection between transaction costs and operating efficiency of capital market, it pointed out that transaction cost is the decisive factor, which influenced operating efficiency of capital market. Then it analyzed the action of institutional investors promoting innovation of transaction system of capital market, concluded the institutional investors are helpful in reducing transaction costs of capital market and enhancing operating efficiency of capital market.The seventh chapter compared the influence of institutional investors on capital market efficiency between in China and in U.S.A. With analyzing institutional investors’ function in capital market of China and U.S.A, it elaborated the different influence of Chinese and American institutional investors on capital market efficiency. The analysis result indicated that although economic strength, developed degree of capital market and the environment that institutional investors located of two countries are different, institutional investors of two countries both effected negatively pricing efficiency of capital market under certain condition. The difference is that the degree of institutional investors effecting negatively capital market is different because of the difference of capital market system environment and system arrangement. As for allocating resources efficiency of capital market, American institutional investors promoted allocating resources efficiency of capital market of their country by participating actively in corporation governance. Chinese institutional investors didn’t influence remarkably corporation governance due to all sorts of causes, thus the influence of institutional investors on allocating resources efficiency of capital market is insignificant. Institutional investors of two counties both influenced positively on operating efficiency of capital market.The eighth chapter with above research, put forward the policy proposal and the countermeasure about how to promote our country institutional investors developing healthily: consummating the system arrangement of capital market in our country, supervising and managing coordinatedly institutional investors, standardizing and optimizing institutional investors’behavior, strengthening construction of qualified institutional investors troop, urging institutional investors to display positive roles in capital market, impelling capital market efficiency to enhance unceasingly.更多还原