【作者】 张志聪；

【导师】 周渭兵；

【作者基本信息】 江西财经大学 ， 金融学， 2009， 硕士

【摘要】 正如上世纪90年代和本世纪初,许多新兴市场经济体见证了作为机构投资之一的社保基金在从现收现付制向基金积累制转轨中获得了长足的发展。可以预见,在我国作为资本市场重要机构投资者之一的社保基金入市投资的步伐将进一步加快。但社保基金的社会性决定了它的投资是非常谨慎,入市投资必须把安全性和风险管理防范,作为一种经济投资活动,社保基金入市投资同样面临风险—收益选取问题。国外对社保基金投资及其风险的研究起步较早,而且多为给付确定制计划(DB)或缴费确定制计划(DC)框架下社保基金的投资运营或资产配置效率研究。国内关于社保基金投资及其风险的研究目前仍然处于起步阶段,侧重研究社保基金资产投资管理体制、投资组合的有效性、投资渠道这三个方面。有关社保基金股票投资组合的实证研究大都是静态,不符合社保基金投资组合频繁调整的事实,再加上我国社保基金由于投资运营时间短,能够提供的数据样本小及样本考察期间的选取,大大影响实证效果。2003年6月,全国社保基金开始在二级市场上购买股票和债券,同时参与一级市场的新股和可转换公司债券的申购,这标志着社保基金开始了大规模、多层次的资本市场运作。但社保基金作为国家的养老战略储备金,在股票投资时,面对多变的市场,能否构建有效的投资组合以抵御通货膨胀和利率风险,达到保值增值的目的?可投资资产配置是否合理?故本文主要研究我国社保基金进入资本市场进行股票组合投资的保值增值效果和相关风险,并探讨在现有财经制度和资本市场环境下社保基金投资组合资产配置是否合理,对一些创新性投资渠道进行富有意义的设想,提出合理建议。在结构上,本文由六章组成。第一章导言,首先对社保基金保值增值研究问题的现实性进行了分析,引出论文研究的主题。接着对国外、国内的有关社会保障基金保值增值的主要文献进行了综述,为论文其余部分提供研究的理论基础。第二章我国社保基金投资的现状及问题,在回顾我国社保基金从2001年开始入市投资进程的基础上,介绍现行体制下社保基金体系的构成及资金来源和入市投资面临的投资原则与历年投资收益等问题。第三章社保基金股票投资风险分析,将VaR法引入社保基金股票投资组合动态调整的风险度量中,在此基础上对社保基金的股票投资风险进行实证分析和比较。第四章社保基金多种投资策略的投资收益率对比和风险评估,首先对国外的社保基金资产投资的范围及资产配置比例进行比较,然后根据我国社保基金现行可投资品种的比例限制,对我国社会保障基金的银行存款、债券投资、股票投资绩效进行较为详尽的实证分析,提出要提高社会保障基金保值增值的效果,必须要拓展社会保障基金的投资渠道,通过金融工具的创新,提高社会保障基金的投资效益。对指数化投资,特别是ETFs投资的可行性和优越性进行了分析;对信托投资产品、房地产、抵押贷款、基础设施项目以及海外资本市场的金融工具等进行积极的探讨。第五章全国社保基金风险控制原则与宏观政策性建议,由于股票投资大多是委托投资,故从两方面来讨论相关投资风险控制原则:一是投资风险内部控制原则,明确提出在坚持原有理性投资风格基础上建立重大投资失误责任追究制度;另一个是投资风险外部控制原则,社保基金理事会作为委托人外部对代理人实现风险有效管理。第六章结论与展望,主要是对本文的研究结论进行总结和探讨未来的研究方向。更多还原

【Abstract】 Many emerging economies have witnessed that pension fund as one of the institutional investors have gained great developmentDuring the transition process of the current pay-as-you-go system exchange to the fund accumulated system in the last century 90’s and the beginning of this century. It is anticipated that the National Social Security Fund as one of the important institutional investors will further accelerate the pace of market-oriented operation in China. But the social nature of the National Social Security Fund determines the investment is very cautious. The stock market investment must be security and risk management. The National Social Security Fund would face the risk - returns selected issues when its activity be deemed as economic and investment activities.Researches on security funds of foreign countries are earlier, further more, most of them are about the framework of the Social Security Fund’s investment operations or asset allocation efficiency under the payment plan (DB) or defined contribution system plan (DC).Domestic research is currently still in its infancy, focusing on assets management system, the effectiveness of the portfolio and the investment channels. The Empirical Study of National Social Security Fund are mostly static, do not meet the fact of Social Security Fund investment portfolio’s frequent adjustment. With the market-oriented operation of National Social Security Fund has a short time, so it can just provide poor data sample. All these facts greatly affect the accretion of the empirical results.In June 2003, the National Social Security Fund started market-oriented operation to invest stocks, bonds in secondary market, and also participated purchasing IPO and convertible corporate bonds in the first market , which marked the beginning of the social security fund large-scale, multi-level capital market operation.However the National Social Security Fund as national strategic reserve pension fund, whether it can build an effective investment portfolio in order to fight inflation and interest rate risks, to achieve the purpose of preserving and increasing the value when it face the changing market? Whether it is reasonable to make a reasonable asset allocation? Therefore, this paper mainly study on the preserve and adding efficiency of equity portfolio investment of National Social Security Fund and associated risks. And to explore whether the portfolio asset allocation is reasonable under the existing financial system and capital market environment, and then put forward some innovative ideas for investment channels and reasonable proposals.As to the structure, the composition of this article has six chapters:ChapterⅠIntroduction, firstly analysis the status of the preserve and value-added research on the Social Security Fund, leads to the subject. Then it reviewed foreign and domestic researches on the social security fund, to providing the theoretical basis for the following parts.ChapterⅡThe status and problems of National Social Security Fund Investment. Basing on the process of National Social Security Fund’s marker-oriented operation since 2003, it introduced investment principals and historical investment returns.ChapterⅢThe risk analysis of Social Security Fund equity portfolio investment. It used VaR model in the measure of the equity portfolio risk dynamically adjusted, and then analysis the comparison of the equity portfolio risk dynamically adjusted risk and its effectiveness.ChapterⅣThe comparison of investment returns and risks of National Social Security Fund,. Firstly we compared the asset allocation and investment revenue of foreign countries’ social security fund. Then according to the current restrictions on National Social Security Fund, this paper take a detailed empirical analysis on the investment effectiveness of the bank deposits, bond investments, stock investment. It is necessary to expand investment channels of social security funds through the financial instruments innovation, improving the social security fund investment returns. This paper analysis the advantages of index investment, especially ETFs. National Social Security Fund should actively explore trust investment products, real estate, mortgage loans, infrastructure projects, and overseas capital markets, etc. financial instruments.ChapterⅤThe risk management principles and macro policy of National Social Security Fund. Since most equity investments are entrusted investment, we discuss the related investment risk control principles in two ways: one is the principle of internal control investment risk, clearly adhering to the original rational investment style and built mistakes accountability system for major investment mistake. The other one is the principle of external control investment risk: How Social Security Fund Council effectively manage the investment risk as agent from external.ChapterⅥConclusions and future research, including the main conclusions of this paper and discuss future research directions.更多还原