机构投资者行为研究对金融体系稳定性冲击的分析

1、机构投资者行为研究 _ 对金融体系稳定性冲击的分析 2007届研究生博士学位论文 学校代码:10269 学 号: 52040500002机构投资者行为研究 ?对金融体系稳定性冲击的分析院 系:商学院金融系 专 业:世界经济 研 究 方 向:国际资本市场 指 导 教 师: 黄济生教授 博士研究生: 范立强2007年 4月完成ithe dissertation presented to the academic degree committee of east china normal university in applying for the doctor degree of philosop

2、hy in economics studies on institutional investors behavior and analysis of the impact on stability of financial systemspecialty: international finance advisor: prof, huang jisheng candidate: fan liqiangdepartment of finance, business school, ecnuapril 2007 ii 学位论文独创性声明本人所呈交的学位论文是我在导师的指导下进行的研究工作及取得的

3、研究成果。据我所知,除文中已经注明引用的内容外,本论文不包含其他个人已经发表或撰写过的研究成果。对本文的研究做出重要贡献的个人和集体,均已在文中作了明确说明并表示谢意。作者签名:日期:学位论文授权使用声明本人完全了解华东师范大学有关保留、使用学位论文的规定,学校有权保留学位论文并向国家主管部门或其指定机构送交论文的电子版和纸质版。有权将学位论文用于非赢利目的的少量复制并允许论文进入学校图书馆被查阅。有权将学位论文的内容编入有关数据库进行检索。有权将学位论文的标题和摘要汇编出版。保密的学位论文在解密后适用本规定。 学位论文作者签名: 导师签名:日期: 日期:iii 范立强博士学位论文答辩委员会成

4、员名单 姓名 职称 单位 备注 姜波克 教授、博导 复旦大学 主席 许少强 教授、博导 复旦大学戴国强 教授、博导 上海财经大学黄泽民 教授、博导 华东师范大学张祖国 教授、博导 华东师范大学iv内 容 摘 要当今国际金融市场的一个突出特点就是机构投资者发展迅速,机构化趋向促使国际金融市场由传统商业银行为主导逐渐向机构投资者为主导转变。与银行主导的金融市场不同,资本市场在风险的演变、传导和对基本经济要素的反应等范围更广,速度更快,也更为直接。同时机构投资者全球范围内的组合投资,不仅有助于资源在全球配置,更会导致全球金融体系脆弱性的增加。 世纪 年代以来,金融危机频繁的在金融市场特别是资本市场爆

5、发,使人们对金融市场的机构化有了更多的关注和研究。国际金融市场机构化对金融体系稳定性的影响可以分为三个层次:一是机构投资者全球资产配置引发的国际资本流动驱动金融全球化,导致全球金融体系脆弱性上升;二是分析银行和基金等机构投资者的资产负债组成及其特征,以判断机构化究竟是增进还是削弱了金融体系稳定性;三是从机构投资者投资行为出发,从微观方面探讨机构投资者对金融体系稳定的影响。本文立足于第三层次,即以机构投资者行为作为研究主线,采取由一般到特殊的分析思路,从一般国际金融市场到新兴市场最后到我国市场的脉络,从微观方面分析机构投资者对金融体系稳定的影响。由此,本文主要包括了以下内容:绪论首先介绍了本文的

6、写作背景,指出无论是资产规模、资产增长速度都显示机构投资者逐渐替代商业银行成为金融市场的主导。世界各国特别是发展中国家出现了证券市场国际化浪潮,与此相伴随的是机构投资者逐渐改变了以前“本国偏好”型的资产配置,进行全球投资。机构投资者在全球范围内配置资产,促使资本在国际金融市场自由流动,这不仅有助于资源在全球配置,也会导致全球金融体系脆弱性的增加。新兴市场总体规模普遍较小,证券市场总市值占全球资本市场的比重过低,甚至低于一个机构投资者的资产规模,这就使新兴市场更成为金融危机爆发的集中地。而只有对机构投资者行为进行分析,以及其对国际金融体系的冲击作用作了深入考察,才能提及对机构投资者监管,应对国际

7、金融市场机构化趋向。其次,对研究对象?机构投资者进行了界定,采用列举的方式,介绍了几个主要的机构投资者。最后,介绍了本文的研究思路:金融市场机构化趋向对金融体系稳定性的影响可分为三个层次,本文从第三个层次出发,考察了机构投资v者投资行为,指出机构投资者具有有限理性的特点,从资产价格和市场流动性两个方面对金融体系稳定性造成冲击。第一章对机构投资者行为研究的文献进行了综述,并对国内外关于机构投资者是否具有稳定市场功能的争论进行了总结。指出这种争论主要围绕着机构投资者与金融市场价格波动性展开的,没有从整个市场的角度,也没有把市场稳定放到整个国民经济体系中考察,本文将就机构投资者行为对金融体系稳定性的

8、冲击作用进行分析。第二章简介了机构投资者的一般投资行为,指出机构投资者具有明显的有限理性特征,在投资行为上表现为:“有意识”的市场投机甚至垄断操纵;采取羊群行为和正反馈交易策略。本文借鉴最新发展起来的行为金融理论对机构投资者的羊群行为和正反馈交易策略的产生原理、发展过程进行了论述,并进一步分析了机构投资者有限理性的行为对金融体系稳定性影响的方式。金融体系的不稳定或金融危机突出体现在资产价格的剧烈波动和市场流动性的崩溃。随着各国资本市场制度的完善,监管力量的增强,机构投资者的投机操纵行为相对较少,主要出现在新兴市场上;对于一般市场特别是成熟市场,机构投资者对金融体系的冲击主要体现在羊群行为和正反

9、馈交易机制上。因此,本文第三章和第四章主要探讨了机构投资者的羊群行为和正反馈交易在资产泡沫形成中的作用和对市场流动性的影响。第三章探讨了资产价格和资产泡沫之间的关系,指出资产泡沫的存在成为市场的一种常态,理性投资泡沫和传统的收益确定模型不能解释股票价格的波动性,建立在投资者心理和行为及社会学基础上的行为金融学理论在解释资产泡沫和各种“金融异象”上显示出了强大生命力。本文利用行为金融理论,揭示了机构投资者的羊群行为和正反馈交易机制在资产泡沫形成、发展中的作用。最后探讨了金德尔博格的“经济恐慌”模型,指出在金德尔博格“经济恐慌”模型中从资产泡沫的破裂到最终引发金融危机,期间必须具有两个条件:一个是

10、投资者预期发生改变,投资者抛售资产,资产价格骤然下跌,导致泡沫破裂。另一个是资产价格下跌通过一定方式传递出去,导致整个金融体系发生危机,即其中存在一个泡沫破裂后的传导过程;否则,即使发生股市崩溃的股灾也不一定能导致金融危机发生。因此,本文以金德尔博格模型为框架,分析了在预期逆转的情况下,vi机构投资者羊群行为和正反馈交易策略导致金融危机发生的作用机理。第四章介绍了投资者行为与市场流动性的关系,分析了机构投资者的发展从市场投资者结构、引起价格变化触发市场价格动态自我强化机制、导致做市商制度失灵等几个方面对市场流动性造成的影响。本文借鉴 和的模型,介绍了市场流动性冲击如何单独作用导致市场危机的发生

11、,并放宽了模型中流动性预期改变会自发导致危机发生的假设,分析了机构投资者羊群行为在预期改变和危机发生之间的作用。最后以 年欧洲债券与货币市场骚动和 年俄罗斯 的流动性危机为例,对机构投资者行为在流动性危机中的作用进行了分析。最新数据显示机构投资者一改原先“本国偏好”的投资策略,在全球范围内资产配置。机构投资者全球性资产配置形成的资本流动,在对冲基金等为“羊头”的跨国投机下,成为一国发生金融危机的重要外在根源,同时也成为金融危机在国际金融市场上传染的重要渠道。因此,在第五章中,首先介绍了机构投资者全球投资理论和实践的演变。其次,以对冲基金为例分析了机构投资者跨国投机的方式、渠道,着重分析了新近出

12、现的机构投资者立体式投机方式的投机原理。并以 年英镑投机和 年泰国投机为例分析了机构投资者投机行为如何导致金融危机的发生。最后,结合一般传染理论,分析了机构投资者全球资产配置与金融危机国际传染的关系。在总结以前理论模型的基础上,本文改变了以前模型着重于导致机构投资者资产配置发生调整的因素的分析,集中探讨了机构投资者跨国组合投资导致金融危机传染的作用机理。指出机构投资者跨国组合投资,导致金融危机传染的三个渠道:收入效用,替代效用和信息效用。而收入效应和替代效应是以投资者财富的改变为前提的,即所谓的“财富效应”;信息效用主要影响市场参与者的预期。本文借助几个模型探讨了机构投资者行为的财富效应和信息

13、效用在金融危机传染中的作用。同时发现这些正是机构投资者羊群行为和正反馈交易机制的跨国效应,也可以说是机构投资者在国际金融市场上的羊群行为和正反馈交易机制的结果。在新兴市场开放过程中,机构投资者充当了急先锋的角色。许多新兴国家通过积极引进外国机构投资者促进本国证券市场国际化。本文第六章以新兴市场开放为出发点,指出外部机构投资者的引进,在给新兴市场带来积极作用的同时也vii导致新兴市场易变性增加。把新兴市场看作是一种独立类型资产的资产配置策略、导致新兴市场定价效率降低等多个方面,外部机构投资者的行为增加了新兴市场的易变性。同时新兴市场在经济发展、市场深度、广度、制度完善等各个方面相对成熟市场还有很

14、大差距,这又进一步强化了机构投资者的羊群行为和正反馈交易对市场资产价格和流动性的影响。文章还分析了外国机构投资者的投机操纵、羊群行为、正反馈交易机制在新兴市场危机产生、发展和国际传染中的作用;并从机构投资者行为角度对 年墨西哥金融危机进行了重新阐释,以具体危机事实揭示了机构投资者行为在危机中的作用。第七章介绍了证券市场开放背景下,我国 制度的引进;总结了 在我国资本市场投资行为的现状和特征,可以发现 在中国市场投资虽然和在国外成熟市场相比有一些不同,但没有证据表明其利用资金和信息优势进行“故意性”的市场操纵。虽然投资行为中出现了快进快出、短期性概念炒作等行为,总体上来说仍然采取了价值性投资理念

15、。本文分析了 的投资持仓比例、持仓市值变动和 股市场上证指数走势趋向之间的关系,发现 持仓比例和持仓市值变动有助于防止大盘上升过快,具有稳定市场的功能。文章还采取实证方法对 在国内股票市场上的羊群行为进行了检验,发现 确实存在羊群行为,但羊群行为度同国内基金相比比较小,和其在国外市场的羊群行为度基本持平。因此,总体来说 遵循了价值投资的理念,没有对我国市场稳定性造成太大影响。文章还进一步分析了 对我国经济潜在的风险因素,并在 年管理制度改革的基础上,提出进一步完善我国 制度的建议。关键词 机构投资者 羊群行为 正反馈交易 金融危机viiiabstract the international f

16、inancial market is characterized by the rapid development of institutional investors. global portfolios not only promote the allocation of worldwide resources but also make the global finance system more fragile than beforemeanwhile, international financial market becomes to be dominated by institut

17、ional investors. capital market, which is different from bank-leading market, responses rather rapidly, widely and directly to basic factors like risk. from 1990s the frequent financial crisis outbreak on capital market , which cause the scholars pay more attention and do more research on the financ

18、ial market institutionalizingthe trend of organization in the global financial market impacts the stability of financial system by the following three ways: first, capital flow, induced by the capital allocation of institutional investors, accelerates finance globalization and increases system risk

19、of global financial system; second, by analyzing structures and characteristics of balance sheets of banks and funds, we can judge whether the trend of organization increases or decreases the financial system risk; third, in the view of institutional investors, the author make research on how instit

20、utional investors affect financial system. following a way of analyzing from general to special, from global financial market to emerging markets like china, the author do research on this issue in a microcosmic viewthis paper mainly including the following context: the abstract introduce the backgr

21、ound of the article, pointing out a phenomenon that institutional investors, as the new leader of the financial market have taken place of the commercial banks in all aspects whether from the scale of assets or the speed of development. the security market, especially in emerging countries witness a

22、 globalization trend. accompanied by this phenomenon, the institutional investors change previous “ home biased” asset allocation philosophy and invest more fund on global portfolios. the behavior of institutional investors convenient world capital freedom , attributing the optimal allocation of fun

23、d. meanwhile they also enhance more fragility of finance system and trigger the financial crisis. owing to small scale and low ratio of domestic shareholder value to global capital market, the emerging countries have become the center of financial crisis out-broken sites. so in order to carry on eff

24、ective financial supervision and tackle with the financial market institutionalizing situation ,we should analysis the behavior of institutional investors and review its impact on international financial system .the research also has great significance on the emerging country security market constru

25、ction, keeping macro-economy stable in the course of market internationalizationwe first define the concept on institutional investors and enumerate several types of them. secondly we introduce the research outline, pointing out three levels of the impact of financial market institutionalizing on fi

26、nancial stability. the article analysis the problem from the third level, seeing about the behavior of institutional investors, showing their bounded rationality trait. their investment strategy manifest such character that they take advantage of information and fund to manipulate stock price .their

27、 speculation behavior also show “herd effect” and finally we investigate the effect of institutional investorsixbehavior on financial stability from the aspect of the bubble of asset and market liquidity crisischapter one is a literature survey of institutional investor behaviors, plus a summary of

28、the debate whether foreign institutional investors could stabilize the market. in chapter two, after analyzing the general behavior of institutional investor, the author analysis not only features of institutional investors, but also the two ways that institutional investors can affect the stability

29、 of financial system: “ purposely” monopoly and arbitrage; and unconscious herding and positive feedback trading rulesin light of the theory of behavior finance, the author studies the flock of sheep behavior of institutional investor, its principle and historythe key feature of financial crisis is

30、the dramatic fluctuation of price of assets plus the collapse of the market liquidity. in chapter three and four, financial crisis mechanism is introduced so that we can see how institutional investor behavior induces the break of bubble of assets and collapse of the market liquidityon the basis of

31、relationship between previous investor and financial crisis, it is pointed out that the key opinion of traditional financial theory is macroeconomic and business cycle which is important to financial crisis, although it has some research in investor behavior. with the rapid development of behavioral

32、 finance, the trend that doing research of financial crisis in investor behavior becomes popular and it seems to grow up rapidly. by mathematical models, the function is discovered that the institutional investor s herding behavior and positive feed back mechanism affects the assets bubble s forming

33、, developing and breaching. further, we make use of economic panic model of kindleberger, feed back mechanism model of blanchard and watson, herding behavior model of thomas lux and financial risk transfer model of lagunoff and schreft to make the first model mathematically and particularly and trac

34、k the course of institutional investor s herding behavior and positive feed back mechanism affects the assets bubble s breachingchapter four introduces the relationship of investor behavior and market liquidity, and discusses how the development of institutional investors affects market liquidity an

35、d market risk. backed up by the model of chitru s. fernand and richard j. herring, the author introduces that how liquidity of market affects market crisis and how the institutional investor s herding behavior works when market expectation changes and crisis happens. taking the disturbance of europe

36、 bond and currency market in 1994 and liquidity crisis of ltcm of russia in 1998 for example, institutional investor s behavior in liquidity crisis is analyzedfinally, the author analysis the relation between institutional investors global distribution of the assets and the outbreak of international

37、 financial crisis. based on past models, shifting from focusing on factors that cause adjustment of the global assets allocation, the author focuses on the mechanism that transmits financial crisishe finds that the global portfolio adjustments transmit financial crisis by three channels: income effe

38、ct, subsititution effect and information effect. effects of income and substitution occur in the situation of wealth change, that is, the so-called wealth effect; information majorly impacts on market expectationthe latest data demonstrates that institutional investors begin to make worldwidexinvest

39、ments, with more global portfolio allocations involved. this may led to financial crisis by international arbitrage and make the crisis spread across nations. so, the chapter five mainly includes two parts: first, the way that institutional investor uses hedge fund to arbitrage, taking pound arbitra

40、ge in 1992 and thailand crisis in 1997 for example; second, the wealth effect and information effect in global allocation of institutional investor. it is found that the global financial system is made more fragile by institutional investor behaviors, herding behaviors, and positive feed back mechan

41、ism, hence international crisis is easier to happenduring the process of emerging markets openings, institutional investors pioneer. many emerging economies actively introduce the overseas institutional investors to internationalize their domestic equity markets. chapter six points out that the intr

42、oduction of overseas institutional investors may increase the market volatility while their introducing the positive effects. the volatility is imported pertaining to the pricing efficiency of emerging markets when the foreign institutional investors treat the emerging market as an independent asset

43、 unit under their global asset allocation strategy. at the same time, the impact over the asset prices and liquidity from the herd effect and positive feedback trading of institutional investors are further strengthened by the great discrepancy between emerging markets and developed markets in the e

44、conomic development, market depth, market breadth, institutions and so forth. moreover, the chapter studies the roles on the happening; deepening and international contingencies of emerging market crises form the overseas institutional investors market manipulation, herd behavior, and positive feedb

45、ack tradingmeanwhile, the chapter also provides a new explanation on the 1994 mexico crisis from the perspective of the institutional investors behavior, unveiling the effect of institutional investors on the crisis given the above factchapter seven discusses the introduction of the qfii institution

46、 under the context of the stock market opening. the chapter gives a summary of the qfiis behaviors and charac teristics, discovering that there is no obvious evidence about market manipulation by means of their advantage of money and information, though there exists a few subtle difference between t

47、heir domestic and overseas investments. from a general perspective, the qfiis assume the style of value investment despite the fact that the frequent rebalances and hot spots pursuing are found in their investment process. the paper proves that the qfiis help to prevent the over-soaring of the marke

48、t and stabilize it through analyzing the relationship among their share holdings, the value changes of the holdings, and the shanghai stock composite indexafter empirical studying the herd behavior in chinese stock market, the paper finds the evidence of herd-behavior among the qfiis, which is less

49、obvious than the domestic funds, approximately the same as their performance in overseas markets. hence, generally speaking, the qfiis adopt the value investing style without an severe impact on chinese stock market. the paper also analyzes the potential qfii s risk factors affecting chinese economy

50、, and puts forward the proposals with regards the improvement of the qfii institution on the basis of last year s reforms key word: institutional investor herd behaviorthe positive feed back mechanismxi 目 录 绪论:.1 一、研究背景和研究目标.1 二、基本概念的界定5 三、研究思路与结构安排.9 四、本文的主要特色和创新点12 第一章 机构投资者行为研究文献综述14 第一节 国内外机构投资者

51、行为研究文献综述.14 一、外国对机构投资者行为的研究14 二、国内对机构投资者行为的研究18 第二节 机构投资者金融市场稳定功能的争论.21 一、国外关于机构投资者市场稳定功能的争论.21 二、国内关于机构投资者市场稳定功能的争论.25 第二章 机构投资者有限理性与金融体系稳定30 第一节 机构投资者投资行为特征.30 一、机构投资者的投资特征30 二、机构投资者的有限理性31 第二节 机构投资者有限理性对金融体系稳定性冲击.34 一、有限理性与机构投资者行为.34 二、机构投资者有限理性行为对金融体系稳定性冲击.47 第三章 机构投资者行为与资产泡沫.50 第一节 机构投资者行为与资产泡沫

52、形成.50 一、资产价格与资产泡沫.50 二、羊群行为与资产泡沫的形成.52 三、正反馈交易策略与资产泡沫的形成.57 第二节 机构投资者行为与资产泡沫破裂.66 一、投资者预期逆转与资产泡沫破裂.68 二、机构投资者行为与金融危机70 第四章 机构投资者行为与流动性危机.76 第一节 机构投资者行为与市场流动性.76 一、投资者与市场流动性76 二、机构投资者对市场流动性影响.78 第二节 机构投资者行为与市场流动性危机.82 一、机构投资者与流动性危机.82 二、市场流动性与金融危机88 第三节 机构投资者与流动性危机的例证分析91 一、机构投资者与 年欧洲债券货币市场骚动.91 二、机构投资者与俄罗斯 的流动性危机94 第五章 机构投资者行为与国际金融市场危机.96 第一节 机构投资者全球投资行为96 一、机构投资者全球投资的理论分析.96 二、机构投资者全球投资的演变.100xii第二节 机构投资者国际金融市场投机.102 一、机构投资者投机渠道分析102 二、机构投资者的投机方式分析110 第三节 机构投资者全球投资与金融危机的国际传染.122 一、金融危机传染渠道概述.122 二、机构投资者全球投资与金融危机传染.123 三、财富效应和金融危机的传染.125