证券投资基金对证券市场的实际影响

证券投资基金对证券市场的实际影响

【摘要】随着证券投资基金规模的不断壮大，证券市场受到了证券投资基金的影响，对证券投资基金的扶持与监管力度不断加大，对其在证券市场中的作用寄予厚望。越来越多的证券投资基金进入证券市场，使证券市场的投资者结构发生了深刻的变化，证券市场模式日益多元化以及以场外市场为主的证券市场价格变化趋势更加复杂化。

【关键词】证券投资基金；投资主体；结构；市场模式

一． 引言

1997年11月14日，证券委员会发布《证券投资基金管理暂行办法》，拉开了培育和发展机构投资者的序幕。1998年3月23日，中国最早完全按照新的基金办法成立的基金———基金金泰、基金开元分别在沪深两地上网发行，标志着我国证券投资基金业的正式兴起。从我国第一支证券投资基金设立开始，截至2009年底，交易所上市证券投资基金成交金额达到10249.59亿元。随着证券投资基金业的迅速发展，学术界对证券投资基金的研究日益关注。深入挖掘证券投资基金对证券市场的影响尤为重要，这将为我国证券市场的健康稳定发展以及对机构投资者培育提供了理论支持。本文运用产业组织经济学中的经典分析模式，分别从证券市场结构、主体行为、市场绩效三个方面入手分析证券投资基金对证券市场的实际影响。

二、我国证券投资基金的发展状况

随着对证券市场机构投资者的不断重视与扶持，中国证券投资基金的发展非常迅速，已经成为中国股票市场中最有影响力和最大的机构投资者。首先，个人投资者认识到自

身投资的盲目性和非科学性以及个人投资者本身的抗风险能力差，从而选择通过证券投资基金进行股票投资。根据中国证券登记结算公司的统计，2005年末至2007年末，中国证券投资基金账户总数从125.7万户增长到2582.51万户，两年内增加近20倍。其次，证券投资基金在整个市场中的持股比例越来越高。从2004年年中开始，投资基金持股市值占市场流通市值比例从10.%上升到2007年第三季度末的28%。尽管此后略有下降，但在2008年第二季度末和第三季度末，其比例均保持在21%左右。另外，证券投资基金的市场影响力越来越大。由于机构投资者本身所具有的理性投资、专业性、技术性、平稳盈利性等特点，使许多个人投资者密切关注并跟随投资基金的投资策略以及对市场的解读，基金重仓股成为市场追捧的对象。另一方面，其他机构投资者如社保基金、保险基金和私募基金等在制定和执行投资策略时，无不认真分析研究证券投资基金的选股和策略。所以，中国证券投资基金已经具备了影响市场波动的潜在能力。

三、证券投资基金对证券市场的影响

哈佛学派认为，产业组织发展的路径应该是市场模式决定企业行为，企业行为决定产业绩效。应该善意和正确地确立一个最佳的市场模式，让所有企业在该模式下选择自己的行为，以期达到产业和市场的发展绩效目标。随着证券投资基金的日益发展，机构投资者在证券市场上的实力不断壮大，个人投资者所占份额不断减小，证券市场投资机构化、集中化，这将对证券市场产生什么样的影响，我从以下几个方面进行分析。

（一）证券投资基金对证券市场投资者结构的影响

投资者是资本市场的行为主体。从产品交易到产品创新都是由作为市场主体的投资者起主导作用的，同时投资主体对投资对象的认知和评价是产品成功发行交易的必要条件。资本市场的投资者结构是指在市场中产品投资者的类型结构，在此我将其定义为机构投资者和个

人投资者之间的比例。因为在机构投资者中证券投资基金占很大比重，是机构投资主体研究中的重点。随着金融市场的发展和经济全球化以及资本市场的繁荣，全球资本市场的投资者结构发生了重大变化，机构投资者作为一个群体在资本市场占有的份额急剧上升。信息技术的发展大大提升了金融服务业的水平，凭借便捷的信息交流可以高效率、低成本地提供中介和风险管理服务，催生了复杂的投资产品，机构投资者的发展顺应了市场对复杂产品的要求。脱媒现象减少了对银行存款的需求，传统的储蓄手段向利益驱动的机构化工具转化，机构投资的规模不断上升。专业化的优势使机构投资者在债券、股票和其他复杂产品投资上拥有专业化的优势，并且把优势转化为收益的改善，吸引更多的个人投资实现机构化，机构投资者的规模不断壮大。伴随着机构投资者的兴起，债券市场的投资机构化现象更为突出。来自美国市场2002年的数据显示，公司债市场投资者的92％是机构投资者，市政债市场投资者的70％属于机构投资者。2002年韩国的公司债市场数据显示，98％的投资者是机构投资者，其中金融机构占88％。中国的债券市场也不例外，2007年12月末，中国债券市场余额（不含央票等）为82611.11亿元，其中机构投资者债券余额为79320亿元，占比达96％；个人投资者持有的债券余额不足4％。全球债券市场逐渐演变为完全由机构投资者占主导的市场。截止2009年10月底，中国共有基金管理公司60家，管理资产27306亿元，其中公募基金532只，资产规模23188亿元；社保委托资产2997亿元；企业年金709亿元；特定客户资产412亿元。另有基金托管银行17家；基金销售机构115家。基金持股市值17404亿元，占沪深股市流通市值的13.29%。内地全部机构投资者持有A股市值已超过50%。

（二）证券投资基金对证券市场模式的影响

1．不同交易主体对证券市场模式的选择。

按照学术界普遍认可的对市场模式的分类，证券市场模式分为两种，一种是以场内市场

交易为主，一种以场外市场交易为主。两种市场模式在交易方式、清算方式和信息披露上都存在着差异。

债券交易方式可分为指令驱动型和报价驱动型。指令驱动型导致场内交易的匿名性和不可逆性，投资者之间一次性完成博弈，不利于长期合作，在以机构投资者为主体的债券市场中，指令驱动型的交易方式不利于机构投资者获取良好的价格，所以机构投资者倾向于在场外交易，场外市场是报价驱动型的，交易者之间存在重复博弈，有利于机构投资者获取良好的价格。在债券交易中，信用风险防范是非常必要的，在以个人投资者为主的市场，投资者数量众多，相互之间的信息不对称程度高，且个人投资者由于自身能力的局限性，难以通过信用风险评估等手段来采取双边授信对风险进行管理。因此，以个人投资者为主的市场往往采取清算制规避信用风险。机构投资者之间通常以大宗交易为主，使双边清算成为可能，并且成本可以明显降低。所以，以机构投资者为主的市场一般倾向采取双边授信和双边清算的方式，以降低中间的交易成本，提高市场的交易效率。机构投资者由于专业化的优势，信息的搜集成本较低，一般机构投资者倾向于在信息披露要求相对不严格的市场中交易。交易信息过度披露对机构投资者的大宗交易询价不利，而且信息的相对隐蔽性对机构投资者充分发挥自身在信息搜集和整理上的优势非常必要，当然这种优势只是相对于个人投资者的劣势而言。

2．证券投资基金对证券市场模式的影响。

中国债券市场是从20世纪80年始逐步发展起来的，经历了场外柜台市场为主、以交易所市场为主和以银行间场外市场为主三个发展阶段。我国债券二级市场可以分为场内交易市场和场外交易市场。其中，场内交易市场指交易所证券交易市场，场外交易市场主要指银行间证券市场和商业银行柜台交易市场。这三个市场在交易规则、体系和监管方面均有所不同。1988年前后，中国债券市场正式形成，这个时期，债券市场还处于幼年阶段，属

于柜台市场，主要通过商业银行和证券经营机构的柜台进行交易。此时的债券投资者结构是以个人投资者为主，因此这种市场模式符合个人投资者的交易需求。1994年开始，国家对各地分散的证券交易所进行整体规划，将国债集中到上海和深圳两个证券交易所来进行，场内市场发展迅速。但是，随着机构投资者特别是证券投资基金势力的壮大，大量机构投资者资金违规进入证券市场，对证券市场的发展产生了很大的影响。从2000年开始，中国债券市场的资者结构发生巨大变化。中国人民银行作为主管机构，始终坚持面向机构投资者的市场定位，不断放宽市场准入条件，增加银行间债券市场投资者的数量，丰富投资者类型，先后将保险公司、证券公司和基金管理公司等主要金融机构引入银行间债券市场。2002年，中国人民银行将市场准入从核准制改为备案制，企业等非金融机构大量涌入银行间债券市场。机构投资者逐渐成为债券市场的主体。从2001年开始，银行间市场的交易量首次大幅超过交易所市场，成为主要的交易市场，以机构为主体的投资者结构确立了以银行间市场为主的债券市场模式。

（三）证券投资基金对证券市场价格以及市场效率的影响

我国的证券市场是一个经济转轨时期的新型市场，有关证券决策和管理部门长期以来坚持超常规发展机构投资者的理念，把培育和发展机构投资者作为推动我国证券市场发展的重要手段。1997年11月14日，批准发布了《证券投资基金管理暂行办法》，明确指出“促进证券市场的健康、稳定发展”是发展证券投资基金的主要宗旨。此后，中国多次表示要大力发展机构投资者尤其是证券投资基金，其主要依据是证券投资基金能起到稳定股市和积极参与公司治理的作用。盛军锋、邓勇等人运用GARCH事件模型与条件波动方程，采用上海、深圳和证券市场数据，实证发现，机构投资者进入市场以后，上海证券市场和深圳证券市场的波动性都出现了结构性降低。总体看，机构投资者发挥了稳定市场的功能，与发展机构投资者的预期相符。在每次大力推动机构投资者发展的时间点之后，机构投资者的壮大都对市场起到了明显的稳定性作用。由于证券投资基金在市场信息

与市场趋势分析技术上的优势可以通过冲销个人投资者的非理性交易行为，从而起到稳定证券价格的作用。

证券投资基金更少的噪音交易和稳定价格的功能产生的结果就是证券投资基金主导的那些股票具有更低的波动性。但是，随着“羊群行为”在行为金融学中普遍受到关注，证券投资基金经常表现出较强的“羊群行为”，即许多投资基金同时买入或卖出相同的股票，由此产生买卖力量失衡导致股票价格大幅度波动。由于我国的机构投资者事实上几乎全部由证券投资基金构成，这些基金在很多方面的同质性导致他们在行为上高度的一致性，这使得机构投资者成为市场波动性的一个重要来源。投资基金的短期投资行为特征显著，投资基金持股的整体换手率甚至还高于市场平均换手率。相对而言，投资基金对小盘股表现出较强的偏好，对价值型和蓝筹型的大盘股则缺乏兴趣，这些无疑加剧了市场波动。\\

四、总结

从上面的经验性分析我们发现，证券投资基金对我国证券市场发展具有深远的影响，随着证券投资基金特别是机构投资规模的不断增大，证券市场投资者结构和市场模式都发生了变化，投资者结构的变化引起投资者行为的变化，投资者行为变化又决定了证券市场模式的适应性发展。不论从实证还是经验角度分析，证券投资基金对证券市场的市场绩效影响都是双向的，受我国经济发展水平、相关法律法规以及投资者投资理念的制约，证券投资基金在我国证券市场中没有达到预期的诸多效果。但是，证券市场投资主体机构化是现阶段证券市场发展的一个必然趋势。随着各种主客观制约因素的改变，证券投资基金在我国证券市场会发挥应有的作用。

Discussion of securities investment fund actual influence of securities

market

Abstract

As the securities investment fund scale unceasingly expands, the stock market by the securities investment funds, the effects of the government in the securities investment fund support and supervision is increasing continuously, the securities market in the role of the expected to do that. More and more securities investment funds into the securities market and make the stock market investors structure produced profound changes, and securities market model and the over-the-counter market diversification in the securities market price changes as the trend more complicated.

Keyword: securities investment funds, investor, structure

Introduction

On November 14, 1997, the securities committee of the state council issued the administration of securities investment funds tentative procedures \cultivating and developing the prelude of institutional investors. March 23, 1998, the earliest Chinese new fund established to completely according to the fund--fund gold, fund respectively in Shenzhen and the Internet two issue, showing that China's securities investment funds industry official rise. From our first team of securities investment fund set up a start, by the end of 2009, exchange listed securities investment funds to clinch a deal amount of 1.024959 trillion with the rapid development of securities investment funds industry, academic circle on the securities investment fund the more and more attention. To dig deeper into the

securities investment fund to stock market is particularly important influence, this will be in our stock market for the healthy and stable development of the institutional investors and to cultivate policy provides the theoretical support. This paper industry organization of the classical economics mode, separately from the securities market structure, the main body behavior, market performance on three aspects analysis of securities investment fund actual influence of the securities market.

Our country the development of securities investment funds conditions

With the government in the securities market of organization investor attention and support constantly, China the development of securities investment funds is very fast and has become the most influential Chinese stock market and the biggest institutional investors. First of all, individual investors realize their own investment and the blindness and unscientific and individual investors the ability to resist risk of itself is poor, and select through the securities investment funds investing. According to the China securities depository and clearing company's statistics, by the end of 2005 to the end of 2007, China securities investment fund account total 1.257 million households from growing to 25.8251 million households, and two years to increase nearly 20 times. Second, securities investment funds in the whole market is becoming more and more of their shareholding. From the middle of 2004 began, the investment fund holdings of market value current market price from 10.% in 2007 to 28% at the end of the third quarter. Although later declined slightly, but at the end of the second quarter of 2008 and the third quarter of the scale to all remain at around 21%. In addition,

the securities investment fund market influence is more and more big. Because investors itself is rational investment, professional, technical and smooth profitability characteristics and many individual investors pay close attention to and following investment fund investment strategy as well as to the interpretation of the market, fund heavy warehouse shares become the object of market enthusiasts. On the other hand, other institutional investors such as pension fund, insurance funds and private equity funds in the formulation and implementation investment strategy, all careful analysis research securities investment fund stock selection and strategy. So, the China securities investment fund has had the ability to influence the market fluctuations potential.

Securities investment fund to the influence of the securities market

Harvard school think, industrial organization development path should be market mode decided to enterprise behavior, enterprise behavior decided to industry performance. The government should establish a kindness and correct the best market model, let all enterprise in the model choose their own behavior, so as to achieve industry and the development of the market performance goals. Along with the development of securities investment funds, institutional investors in the stock market in the growing strength, individual investors share constantly decreases, and the stock market investment institution, centralization, this will be in the securities market produce what kind of impact, I from the following several aspects of analysis.

Securities investment funds to stock market investors the influence of the

structure

Investor is the behavior of the capital market main body. From trade to product innovation products by investors as the main body of market plays a leading role, and the main body of investment for the investment of object of the cognitive and evaluation is the product is successful trading the necessary condition. Capital market investors is to point to in the market structure of the type of product investors structure, in this I will the definition for institutional investors and the proportion between the individual investors. Because of the institutional investors securities investment fund held very large proportion, is the main body of investment institutions in the study of key. Along with the development of financial market and economic globalization, and the prosperity of the capital market, the global capital market investor significant changes have occurred to the structure, institutional investors as a group in the capital market share of rising sharply. The development of information technology has greatly improved the level of the financial services industry, with convenient information exchange can high efficient, low cost to provide intermediary and risk management service, gave birth to the complex investment products, the development of institutional investors with the market for complex products requirements. To take off the media phenomenon reduced the demand for bank deposit the traditional means of savings to driven institutions with chemical transformation, the size of the investment institutions is on the rise. Specialized advantage, make institutional investors in bond, stock and other complex products have the advantages of investment specialization, and the advantage into the improvement of income, and to attract more personal investment realize institutional, institutional investors scale unceasingly expands.

With the rise of institutional investors, the bond market investment institution phenomenon is more outstanding. From the American market data in 2002 showed that 92% of investors in corporate debt market is institutional investors, municipal debt market investors 70% belong to institutional investors. 2002 south Korean company debt market data showed that 98% of investors is institutional investors, including financial institutions accounted for 88%. China's bond market is not exceptional also, December 2007, China bond market balance (do not contain such as central ticket) for 8.261111 trillion , including institutional investors bonds balance is 7.932 trillion , accounting for more than 96%; Individual investors holding bonds balance less than 4%. Global bond market gradually evolved into complete by institutional investor dominance of the market. By the end of October 2009, China with the fund management company 60, managing assets 2.7306 trillion of which only 532 public enlisting fund, the largest assets 2.3188 trillion ; Social security entrusted assets 299.7 billion ; Enterprise annuity 70.9 billion ; Specific customer assets of 41.2 billion . Another fund custody bank Fund sales institutions in 115. Fund holdings valued at 1.7404 trillion accounting for 13.29% of the Shanghai stock market circulation market value. All investors holding a mainland stock market value has more than 50%.

Securities investment funds in the securities market model influence

1. Different subject to stock market trading pattern options.

According to academics generally accepted to the classification of market model, the securities market model is divided into two kinds, one kind is market

trading field is given priority to, a kind of to the over-the-counter market trading mainly. Two kinds of market mode in trade method, clearing way and the information disclosure is presence with differences.

Bond transaction mode can be divided into directive driven type and offer driven model. Directive driven type floor trading in the anonymity and irreversible, between investors completion at game, go against the long-term cooperation, institutional investors as the main body in the bond market, the directive driven type of way to trade against institutional investors get good price, so investors tend to in the over-the-counter, the over-the-counter market quotation is driven model, between traders repeated game, be helpful for institutional investors get a good price. In the bond trading, credit risk prevention is very necessary, with individual investors in the market as investors numerous, mutual information asymmetry between degree is high, and individual investors because of its own capacity limitations, hard through the credit risk evaluation means to take credit risk management of bilateral. Therefore, in individual investors often take the market as the central settlement system avoid credit risk. Institutional investors to block trade between usually is given priority to, make the bilateral settlements possible, and cost can be cut down obviously. So, with institutional investors tend to take the market as general bilateral credit and bilateral liquidation of the way, in order to reduce the middle of the transaction cost, improve market efficiency. Institutional investors because of specialized advantage, the information of the collection of low cost, general institutional investors tend to in the information disclosure requirements are relatively strict market in trading. Trading information disclosure of institution investors excessive block trades inquiry advice, and the relative

information of concealment institutional investors give full play to its own in information collection and clean up the advantage very necessary, of course this advantage is only relative to the individual investors for the disadvantages.

2. Securities investment funds in the securities market model influence

China from 1980 s bond market developed gradually, experiences the market off the counter primarily, by the exchange market mainly between the bank and to give priority to the over-the-counter market three stages of development. China's bond can be divided into the secondary market floor trading market and the over-the-counter market. Among them, the floor trading market refers to the securities exchange market, mainly refers to the over-the-counter market between Banks and securities market commercial bank bar trades market. The three market, in the trade rules, system and supervision are different. Before and after 1988, China's bond market official form, this period, the bond market is still in the early stages, to counter the market, mainly through the commercial Banks and securities business institutions counter trade. At this time of bond investors structure is based on individual investors give priority to, so the market conforms to individual investors trade demand. Beginning in 1994, the state has scattered all over the stock exchange on the overall planning, will focus on Treasury bonds to Shanghai and Shenzhen stock exchange two to the rapid development of the market. But, as investors especially the securities investment fund of the forces of the expansion, a large number of investors in securities market fund illegal, the development of the securities market has made a difference. Since 2000, China bond market information of the great changes to the structure. The people's bank of China as a

competent agencies, always adhere to institutional investors market positioning, and constantly relax market access conditions, increase the market of the bond between the bank the number of investors, rich investors type, have the insurance companies, securities companies and fund management companies and other major financial institutions into market of the bond between the bank. In 2002, the people's bank of China will market access to records from to approve the system, enterprise non-financial institutions such as an influx of market of the bond between the bank. Institutional investors gradually become the main body of the bond market. Begin from 2001, between bank market turnover significantly more than the first time exchange market, has become the main trading markets to institutions as the main body structure established to bank investors between the market gives priority to the bond market mode.

Securities investment funds in the securities market price and the influence of market efficiency

China's securities market is a new type of market economic transition period, the relevant securities decision-making and management department has long maintained extraordinary development concept of institutional investors, to cultivate and develop institutional investors as a tool to promote our country securities market development of important policy means. On November 14, 1997, the approval of the state council issued the administration of securities investment funds tentative procedures \market and stable development\" is the development of securities investment fund's main aim. Since then, China securities regulatory commission said many times to

vigorously develop institutional investors especially securities investment funds, the main basis for securities investment fund is can play the stock market and stable participates in the company management role. ChengJunFeng, DengYongDeng using GARCH event model and conditions wave equation, the Shanghai, Shenzhen and securities market data, the empirical found that institutional investors enter the market later, the Shanghai securities market and Shenzhen stock market volatility there are structural reduced. Overall see, institutional investors play a stable market function, and development policy of institutional investors expected. In every time vigorously promote the development of institutional investors time point, the institutional investors the expansion of the market plays the stability of the obvious effect. Because of the securities investment fund market information and market trend analysis of technical advantage through individual investors can be written the irrational transactions, and thus plays the role of price stability of securities.

Investor in fact almost entirely by a securities investment funds, these funds in many ways homogeneity leads to their behavior in the height of the consistency, this makes the institutional investors become market volatility of a main source. Investment fund for short-term investment behavior characteristics significantly, the investment fund the whole of the shares changing hands even higher than the market average rate changing hands rate. Relative to character, the investment fund to the small dish stock represent strong preference, the value and the blue-chip type of bulk lots stock is lack of interest, these exacerbating the market fluctuations. Individual investors irrational transactions, and thus plays the role of price stability of securities.

Summary

From the above empirical analysis we found, securities investment fund on China securities market development of far-reaching influence, as securities investment funds (especially organization investment scale are on the increase, the stock market investors structure and market mode is changed, investors structure of the change investors behavioral changes, investors of behavior change and decided to stock market the adaptability of the model. No matter from the empirical or experience perspective, the securities investment fund market performance of the securities market influence is a two-way street, influenced by our country in the level of economic development, related laws and regulations, and the investors investment philosophy restriction, securities investment funds in the Chinese securities market did not reach the many effect. But, the stock market the main body of investment institution at this stage of the development of the stock market is an inevitable trend. Along with the subjective and objective factors of change, securities investment funds in the Chinese securities market will play its role.