社保基金持股对股票波动性的影响研究
首发时间:2018-03-30
摘要:社保基金自2003年被批准入市以来,虽已实现保值增值的目的,但一直饱受争议,其入市行为是否有利于股票市场的健康发展?为避免样本的选择性偏差问题,本文将样本分为处理组(被社保基金持有股票)和控制组(未被社保基金持有的股票),运用倾向得分匹配模型(简称PSM),在控制组中筛选出与处理组"相仿"的股票,以检验社保基金的持股行为是否会对股票波动性造成影响。研究发现:(1)社保基金倾向于持有经营业绩良好、管理效率高的上市公司。(2)相比控制组,处理组的波动性更低,表明社保基金的持股行为可能会降低被持有股票的波动性,有利于股票市场的健康发展。
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The impact research of the Social Security Fund\'s holding on stock volatility
Abstract:Since the social security fund has been approved to enter the stock market in 2003, although the goal of maintaining and increasing value has been realized, it has been a controversial issue. Is its entry conducive to the healthy development of the stock market? To avoid the problem of sample selection bias, this paper divided the sample into treatment groups (stocks held by the social security fund) and control groups (stocks not held by the social security fund). Then used the propensity score matching model (PSM) to pick out stocks which in the control groups but very "similar" to the stocks which in the treatment groups, to test The impact research of the Social Security Fund\'s holding on stock volatilitywhether the holding behavior of the social security fund would affect the stock volatility. The analysis finds that: (1) the social security fund tends to hold companies with good operating performance and high management efficiency. (2) Compared with the control group, the treatment group\'s volatility is lower, indicating that the social security fund\'s holding behavior may reduce the volatility of the holding stocks, and is conducive to the healthy development of the stock market.
Keywords: Western Economics the social security fund stock volatility PSM
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社保基金持股对股票波动性的影响研究
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