CAJ | 학술논문

文章从养老金投资与资本市场互动的视角，以全国社会保障基金和资本市场发展数据为样本，通过格兰杰因果检验和协整检验，研究养老金投资与资本市场发展两者之间的互动关系，为我国基本养老金能否进行入市投资寻求证据支撑，实证表明全国社保基金的投资是我国资本市场发展的重要原因，结果支持我国基本养老金进行市场化投资。同时，运用资产组合原理，模拟成熟市场中的风险环境，通过测算得出，我国基本养老金入市投资承受与美国养老金投资相当的风险，其资产组合中股票配置的比例应控制在30%以内。
문장종양로금투자여자본시장호동적시각，이전국사회보장기금화자본시장발전수거위양본，통과격란걸인과검험화협정검험，연구양로금투자여자본시장발전량자지간적호동관계，위아국기본양로금능부진행입시투자심구증거지탱，실증표명전국사보기금적투자시아국자본시장발전적중요원인，결과지지아국기본양로금진행시장화투자。동시，운용자산조합원리，모의성숙시장중적풍험배경，통과측산득출，아국기본양로금입시투자승수여미국양로금투자상당적풍험，기자산조합중고표배치적비례응공제재30%이내。
Based on the perspective of the interaction between investment of pension insurance and capital market,taking the relevant data of China’s social security funds and development of capital market as samples,the paper uses Granger causality test and co-integration test to study the interactive relationship between investment of pension insurance and capital market, and aims to seek evidence to support the basic pension insurance to invest in the capital market. The empirical results show that the investment of social security funds is a significant cause of the development of China’s capital market,so the results sup-port the basic pension insurance to enter the capital market. Meanwhile,this paper applies the principle of the portfolio to simu-late the risk environment of the developed market. The results indicate that the stock proportion should be controlled within 30%,which has almost the same risk level of the investment as that of US pension insurance.