经济理论与经济管理
經濟理論與經濟管理
경제이론여경제관리
Economic Theory and Business Management
2014年
9期
96~112
,共null页
社保基金 资本市场 定价效率 股价同步性 投资风险
社保基金 資本市場 定價效率 股價同步性 投資風險
사보기금 자본시장 정개효솔 고개동보성 투자풍험
social security fund; capital market; pricing efficiency; stock price synchronicity; investment risk
笔者利用2007年到2013年各个季度我国沪深两市A股交易数据,以股票价格收益率与沪深300指数收益率的同步性衡量股票的定价效率,通过实证模型分析社保基金投资对股票定价效率的影响。研究表明,当市场处于金融危机前后的牛市和熊市时,社保基金投资对股票定价效率无显著影响,当市场处于较平稳的阶段时,社保基金能显著提高股票的定价效率并降低了投资风险。这说明社保基金参与资本市场投资能提高我国资本市场的有效性。
筆者利用2007年到2013年各箇季度我國滬深兩市A股交易數據,以股票價格收益率與滬深300指數收益率的同步性衡量股票的定價效率,通過實證模型分析社保基金投資對股票定價效率的影響。研究錶明,噹市場處于金融危機前後的牛市和熊市時,社保基金投資對股票定價效率無顯著影響,噹市場處于較平穩的階段時,社保基金能顯著提高股票的定價效率併降低瞭投資風險。這說明社保基金參與資本市場投資能提高我國資本市場的有效性。
필자이용2007년도2013년각개계도아국호심량시A고교역수거,이고표개격수익솔여호심300지수수익솔적동보성형량고표적정개효솔,통과실증모형분석사보기금투자대고표정개효솔적영향。연구표명,당시장처우금융위궤전후적우시화웅시시,사보기금투자대고표정개효솔무현저영향,당시장처우교평은적계단시,사보기금능현저제고고표적정개효솔병강저료투자풍험。저설명사보기금삼여자본시장투자능제고아국자본시장적유효성。
Using A-share transaction data of Shanghai stock exchange and Shenzhen stock exchange in china from the first quarter of 2007 to the fourth quarter of 2013, this paper measures the pricing efficien- cy by the synchronicity of stock price earnings ratio with the CSI 300 index earnings ratio, and analyzes the impact of social security fund investment on the stock pricing efficiencY through empirical mod- el. Studies have shown that when the market is in bull and bear markets before and after the financial cri- sis, the social security fund investment had no significant effect on the stock pricing efficiency, when the market for a more stable phase, the social security fund can significantly improve the efficiency of the stock price. It shows that the social security fund to participate in the capital market investments can im- prove the effectiveness of China＇s capital market.
