社保基金投资组合的定价效率和投资风险研究——基于股价同步性的实证检验

RESEARCH ON THE PRICING EFFICIENCY AND INVESTMENT RISK OF SOCIAL SECURITY FUND——Based on Empirical Test of Stock Price Synchronicity

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。

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.