摘要

當(dāng)前，投資機(jī)構(gòu)化已經(jīng)成為金融市場(chǎng)發(fā)展的一個(gè)重要趨勢(shì)。我國(guó)證券市場(chǎng)起步較晚，市場(chǎng)發(fā)展還不規(guī)范。2000年以來(lái)管理層大力發(fā)展機(jī)構(gòu)投資者，一方面是建設(shè)多層次資本市場(chǎng)的需要，另一方面也希望機(jī)構(gòu)投資者能夠發(fā)揮促進(jìn)市場(chǎng)規(guī)范運(yùn)行的作用。本文在回顧機(jī)構(gòu)投資者行為特征的相關(guān)研究的基礎(chǔ)上，嘗試從投資者行為的有限理性出發(fā)，研究我國(guó)各個(gè)類型的機(jī)構(gòu)投資者的投資行為及存在的問(wèn)題。
通過(guò)對(duì)成熟市場(chǎng)機(jī)構(gòu)投資者的發(fā)展歷程和投資行為的總結(jié)，作者發(fā)現(xiàn)：市場(chǎng)環(huán)境、法規(guī)環(huán)境和自身規(guī)模等因素都會(huì)對(duì)機(jī)構(gòu)投資者的行為產(chǎn)生重要影響，市場(chǎng)、法律環(huán)境越規(guī)范，機(jī)構(gòu)投資者規(guī)模和結(jié)構(gòu)越合理，其行為表現(xiàn)越理性。
在對(duì)我國(guó)機(jī)構(gòu)投資者發(fā)展歷程、現(xiàn)狀和問(wèn)題分析的基礎(chǔ)上，本文對(duì)機(jī)構(gòu)投資者的行為進(jìn)行了較為深入的實(shí)證研究，并主要從機(jī)構(gòu)投資者的持股行為和交易行為兩方面入手。從機(jī)構(gòu)投資者的持股特征來(lái)看，各類型的機(jī)構(gòu)投資者在持股行為中顯示出一定程度上的集中性，主要體現(xiàn)在某些股票上機(jī)構(gòu)投資者的集中持有，此外在不同的市場(chǎng)階段機(jī)構(gòu)趨向于同時(shí)看好或看淡某些股票，導(dǎo)致其在該股票的進(jìn)出上表現(xiàn)出羊群行為。
在交易行為方面，作者一方面分析了各個(gè)類型的機(jī)構(gòu)投資者的持股市值變動(dòng)情況的對(duì)比，從中探討各個(gè)類型的機(jī)構(gòu)在市場(chǎng)行情的變動(dòng)中的交易行為及行為的趨同程度；另一方面對(duì)機(jī)構(gòu)投資者的選股和擇時(shí)能力進(jìn)行檢驗(yàn)，由于信息披露的限制，這部分實(shí)證的數(shù)據(jù)主要來(lái)自證券投資基金，而基金作為最重要的機(jī)構(gòu)類型，其行為也具有典型的代表性。首先作者用最直觀的股票型基金的股票倉(cāng)位變化與上證綜合指數(shù)走勢(shì)作對(duì)比，觀察并統(tǒng)計(jì)檢驗(yàn)兩者走勢(shì)的相關(guān)程度；為了使結(jié)論更具可靠性，接著適用TM模型對(duì)2005至2008年間股票型基金的選股和擇時(shí)能力進(jìn)行研究。我國(guó)機(jī)構(gòu)投資者在交易行為中表現(xiàn)出如下特征：第一，對(duì)各個(gè)類型的機(jī)構(gòu)投資者持股市值變動(dòng)情況的分析表明，盡管理論上看各個(gè)類型的機(jī)構(gòu)投資者的投資目標(biāo)不同導(dǎo)致其投資行為特征應(yīng)當(dāng)有所區(qū)別，但我國(guó)各個(gè)類型的機(jī)構(gòu)在持股市值的變動(dòng)上體現(xiàn)出較大程度的趨同性，沒(méi)有體現(xiàn)出不同的投資風(fēng)格。第二，對(duì)機(jī)構(gòu)投資者的擇時(shí)能力的檢驗(yàn)中，通過(guò)直觀的股票型基金的股票倉(cāng)位變化與上證綜合指數(shù)走勢(shì)比較，發(fā)現(xiàn)季報(bào)披露的數(shù)據(jù)顯示基金的投資行為具有一定的擇時(shí)能力；作者再通過(guò)進(jìn)一步采用TM模型用基金投資行為的日數(shù)據(jù)檢驗(yàn)，發(fā)現(xiàn)樣本期內(nèi)所有樣本基金都體現(xiàn)出正的選股能力，但半數(shù)以上的基金的擇時(shí)能力指標(biāo)數(shù)值為負(fù)，擇時(shí)能力比較差。
作者認(rèn)為，造成我國(guó)證券投資基金行為趨同并缺乏市場(chǎng)擇時(shí)能力的原因包括市場(chǎng)制度和基金自身組織結(jié)構(gòu)等多方面。我國(guó)證券市場(chǎng)法律法規(guī)有待健全、上市公司質(zhì)量不高、交易制度缺陷、基金持有人理念不成熟是導(dǎo)致機(jī)構(gòu)投資者行為異化的外在原因；而機(jī)構(gòu)投資理念的稚嫩、投資風(fēng)格趨同、產(chǎn)品差異化程度低是導(dǎo)致其行為問(wèn)題的內(nèi)在原因。因此，我國(guó)要合理發(fā)展機(jī)構(gòu)投資者、發(fā)揮其積極的市場(chǎng)功能，還需要進(jìn)一步完善資本市場(chǎng)建設(shè)、規(guī)范機(jī)構(gòu)投資者的行為。

關(guān)鍵詞：機(jī)構(gòu)投資者 持股行為 交易行為 擇時(shí)能力 選股能力

Abstract
Recently, institutionalization of investors has been an important trend in development of international financial markets. Security market of our country started late these years, so it’s not so standardized. The regulators have take large efforts to develop institutional investors since 2000, On one hand, it’s for the need of developing multi-level capital markets, on the other hand, regulators also hope institutional investors can impact the financial markets. In this paper, on the basis of analyzing features of institutional investors’ behaviors and limited rational of investor behaviors, we try to study the investment behaviors and the problems of various of institutional investors.
Through the summarization of developing process and investment behaviors of institutional investors in mature markets, we find that market environment, regulating environment and self scale all have important impact on the behaviors of institutional investors，and institutional investors behave more rational when the market and regulating environment is standardized, and the scale and structure are reasonable.
On the basis of introduction of the development and current situation of institutional investors in China and analysis the main existing problems, the paper do some empirical study of institutional investors’ behaviors, focusing on holding behaviors and transaction behaviors. The first part is about features of concentration of holding behavior, showing that the concentration of stock holdings, representing by concentrating holdings of some stock by institutional investors, besides, the same optimistic or bearish towards certain stock always leads to herding behavior on the stock.
The second part is empirical study of transaction behavior, including two parts. First ,comparing the market value changes of different types of institutional investors, discussing the degree of convergence of transaction behavior of different institutions in changeable markets. Second, testing the stock selection skills and market timing abilities, because of the restriction on information disclosure, dates of this part mainly come from securities investment funds, as the most important institutions, behaviors of securities investment funds are typical. We compare the changes of stock positions and Shanghai Composite Index of stock funds, then observe and check the relativity of the two. In order to be more reliable, we then use the TM model to study the stock selectio..