超常规发展的机构投资者能稳定市场吗?——对我国基金业跨越式发展的反思

Can the Hyper-normal Development of Institutional Investors Stabilize the Market?——Leapfrog Development of China's Fund Industry

伴随着2005年底以来中国股市波澜壮阔的发展行情,我国基金业实现了跨越式发展。本文分别运用TARCH模型(从宏观层面)和面板数据模型(从微观层面)来研究我国基金业跨越式发展对市场波动率的影响。实证研究发现我国基金业的跨越式发展并没有促进市场的稳定和理性,反而加剧了机构重仓股的波动。在此基础上,本文对当前我国基金业界信托责任观念淡薄、利益冲突严重、基金监管不力且基金投资者不成熟的背景下推进基金业的跨越式发展进行了反思,提出实现机构投资者稳定市场的三个必要条件。

Along with the great boom in the equity market since the end of 2005, China＇s fund industry has witnessed a leapfrog development. This paper examines the relationship between the quick expansion of the fund industry and the market volatility both from the macroeconomic level with TARCH model and from the microeconomic level with panel data model. Our empirical study shows that the leapfrog development of the fund industry fails to lead to a more stable and rational market. On the basis of the empirical results, the paper reflects on the leapfrog development of the fund industry and brings forwards three necessary conditions to make sure that the institutional investors would help to stabilize the market against the backdrop of the weak fiduciary responsibilities concepts, the serious conflicts of interest, the inadequate supervision over the fund industry and fund investors＇ immaturity.