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论文编号：	2003
作者编号：	2003003
上传时间：	2010/4/1 10:58:36
中文题目：	我国证券投资基金功能研究
英文题目：	Security investment
指导老师：	刘志远
中文关键字：	证券投资基金 功能 政府管制
英文关键字：	Security investment fund Function Government regulation
中文摘要：	本文对我国证券投资基金（以下简称基金）所发挥的融资功能、价格影响功能和股权制衡功能进行实证研究，并依据基金在证券市场中所起的作用，判断我国政府对基金监管政策的科学性、合理性。 本文以Merton和 Bodie（1993，1995）提出的金融中介功能观为视角对基金的功能展开研究。依照功能观的思想，基金生存和兴旺的目的在于有利于实现资本市场的功能，提高资本市场的效率，并为政府对基金的监管提供了方向。 与国外共同基金不同的是，我国基金从诞生到发展是一种强制性而非诱致性制度变迁，基金的运作受到政府的强烈干预，基金既不是独立运作的市场主体，又不是完全政府主导下的平准基金，它是二者的混合体。在这种双重目标下，基金的运作存在诸多问题，它所发挥的功能也已经发生变异，远远不同于成熟市场体制下美国共同基金所发挥的市场作用。 实证研究表明，第一，我国基金持有人的短期行为特征明显，具有“处置效应”，即快速兑现盈利基金，长期持有亏损基金，从而导致基金赎回与基金业绩间正相关。与国外经验相悖，基金融资规模不能对基金经理产生正向激励，基金输血—抽血式融资使得股市的短期上涨总是随时面临着短期抛压；第二，基金的择股具有信息效应，而且降低了股票的波动性，但是基金的集中持股加大了股票潜在的流动性风险。另外，在股市暴涨的交易日，基金拉高出货，在大跌的交易日基金逢低护盘，执行负反馈的交易策略。进一步的分析表明政府单边、优先发展基金的战略造成机构投资者的畸形布局，基金只能以中小散户为博弈对手进行套利，加剧了基金重仓股的股价运动同步性；第三，基金的股权制衡功能随着基金投票权价值的提升，反而对大股东的制衡作用递减。另外，政府对基金投票权的直接干预促进了基金经理和上市公司的“合谋”，基金不但不能奉行“股东积极主义”，反而损害了中小投资者的利益。 本文的研究表明，基金只是一种市场中介，对其过度附加的政府职责，是基金不能承受之重。对基金的监管应以实现金融体系的功能为主导，而不是以实现政府“自利性”监管为目标，否则将难以增进资本市场的整体效率。
英文摘要：	This paper examines the fund functions of Chinese security investment funds. According to these functions, this paper judges the rationality of Chinese government regulation to funds. The dissertation studies from the point of the functional perspective of financial intermediation theory given by Merton and Bodie（1993，1995）. According with the functional perspective theory, the formation and prosperity of fund is to perform the capital market functions. At the same time it points out the direction which the government regulates the funds. But compared with American mutual fund, Chinese fund is imposed instead of induced in the institutional change. Chinese fund is neither an independent market subject nor a fund which is completely dominated by the government. It is a mixture of them. With the dual objectives, the funds bring many negative effects on the capital market. The functions are far different from the mutual funds under the developed market economy. The dissertation uses empirical research method to examine the fund functions. First, by empirical study of financing resource function, it shows that the investors of Chinese funds exist short investment behavior. They have the “disposition effect” that means quickly cashing the profit funds and holding the loss funds. It leads to the positive correlation between the fund redemption and the fund performance. The financing size can not result in positive incentive to the fund managers. That is contrary to the abroad experience. Making further analysis, the fund inflowing-outflowing money effect makes the rise of the stock market facing the selling stock pressure all the time. Second, by empirical study of influencing stock price function, it shows that the fund investment has the information effect and reduces the volatility of stocks. But the fund investment concentration adds the potential liquidity risk. On the other hand, during the big rising trade days, the funds sell the stocks. And during the big falling trade days, the funds restrain the stock price. They perform the negative trading strategy. Making further analysis, it shows the government gives priority to the fund development. It results in the unbalance structure of institutional investors. The funds are forced to game and arbitrate with medium-sized or small-sized investors. The end is repressing the rise of stock market. Third, by empirical study of acting as a counterpoise of big shareholder function, it shows that along with the value increase of fund’s voting rights, the function of fund that is acting as a counterweight shareholder decreases progressively. Moreover, the government over-regulating funds promotes the conspiracy between the funds and the listed companies. The funds cannot perform as an active shareholder and damage the interests of medium-sized or small-sized investor. Results in this paper imply that the fund is just a financial intermediation. The government over-regulating it will bring many new problems. At last the author concludes the objective of regulating funds should be performing the financial system function but not to finish the government interest.
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