养老保险基金入市与股票市场波动  

Pension Insurance Fund Inflows and Stock Market Volatility

作　　者：袁亚蕊 郭士正[1] YUAN Ya-rei;GUO Shi-zheng

机构地区：[1]集美大学诚毅学院中软国际互联网学院,福建厦门361021

出　　处：《闽南师范大学学报（哲学社会科学版）》2020年第4期24-29,共6页Journal of Minnan Normal University:Philosophy and Social Sciences

基　　金：福建省中青年教师教育科研项目资助(JAS180924)。

摘　　要：以养老保险基金入市投资与沪深300指数的季度数据为样本,使用ARDL模型考察养老保险基金入市投资规模和股票市场波动之间的互动关系,还根据不同作用机制分析了养老保险基金入市对股票市场波动的积极与消极影响。实证结果发现长期内养老保险基金入市投资规模对沪深300指数的极差波动率产生显著的正向影响,短期内养老保险基金入市投资规模产生显著的滞后效应。鉴于此,应推进养老保险制度改革,提升投资运营管理水平,尽快完善投资者结构和股票市场运行机制,以期我国养老保险基金对股票市场的稳定发展起到一定的积极作用。Taking the quarterly data of pension insurance fund investment and CSI 300 index as samples,we used the ARDL model to investigate the interaction between the investment scale of pension insurance fund investment and stock market volatility.This article analyzes the positive and negative effects of endowment pension insurance fund entry on stock market volatility according to different action mechanisms.The empirical results show that the investment scale of pension insurance funds in the market has a significant positive impact on the extreme volatility of CSI 300 index in the long term,and the investment scale of pension funds in the short term has a significant lag effect.In view of this,it is proposed that the reform of the endowment insurance system be promoted;the investment operation,investor structure and stock market management be improved so that pension insurance fund can play a positive role in the stable development of the stock market.

关 键 词：养老保险基金 机构投资者 股票市场波动 

分 类 号：F22[经济管理—国民经济]