| With a series of policies like two-child policy and progressive postponed retirement discussed in recent years,the issue of population has been a hot topic in the society.Even though the full implementation of universal two-child policy,China's birth rate has not risen.At the same time,the proportion of the elderly population in the total has been rising.According to the World Population Prospects(Revised 2017),the proportion of the elderly population over 65 in China will rise from 9.68%in 2015 to 26.30%in 2050.The most important issue arising from low birth rate and the coming of aging era is "Who will support the aged in future?"Under the pressure of large-scale pension repayment brought about by the institutional transition costs and contradiction of the population,the National Social Security Fund was founded by the central government.As a national strategic reserve fund,it has long-term stable financial attributes.In order to fulfill the task of preservation and appreciation of fund value,social security fund was put into market for investment in June 2003 based on differential investment modes.During over 10-year investment practice,it has earned an annual rate of return over 8.4%,which makes it "indicators for stock investment" and has raised a wide range of social concern.At the same time,Chinese securities market features a high degree of volatility as an emerging market,which has resulted in huge losses for investors and listed companies and also caused harm to the long-term healthy development of the securities market.China Securities Regulatory Commission has put forward the important measure of "leap-forward development of institutional investors",with a hope to injecting reasonable strength into the securities market.Regarding "whether institutional investors stabilize the market",scholars are holding different opinions.However,there are obvious differences between social security fund and other institutional investors in the aspects of fund nature,investment philosophy,investment modes and so on.And the investment scale of social security fund has grown stronger,and it plays a more important role in institutional investors and even capital markets.Its impact on the stock market has not yet attracted enough attention from the academic community.But its impact on the stock market has not yet attracted enough attention in the academic research.The question worth pondering is:What impact does the social security fund have on the stock market volatility since it entered the market:is it "Accelerator" or "Stabilizer"?What is the difference between the direct investment and the entrusted investment model?This is not only a problem that needs to be explored in the current economic consequences of social security fund investment,but also an useful reference for the impact of local pension funds on the capital market.This thesis is structured as follows.Firstly,the research background and significance,research structure,research methods and innovations are overall expounded.Second,the literature on social security fund and stock price volatility is reviewed.Based on the institutional background and the basic theories of institutional investors' influence on the stock price volatility,the impact of social security fund based on differential investment modes is analyzed and the three research hypothesis are proposed.Then,it describes the process of propensity score matching method,variable selection,and data source.And it explains the selection of matching variables in the matching process,and then reports the empirical results of the test.Finally,it takes the yield as the variables for further analysis and performs the robustness test.In the end,the research conclusions and limitations of this thesis are proposed.The main conclusions of this thesis include the followings,first,under the direct mode,social security fund's investment can obviously stabilize stock price volatility and function as a stabilizer;under the entrusted mode,however,social security fund's investment can obviously boost the stock price volatility and function as an accelerator;second,since social security fund has higher requirements on safety,the role of Stabilizer under direct mode and Accelerator under entrusted mode become more obvious in bull markets than bear markets;third,further analysis based on rate of return reveals that:compared with the groups that is not invested by social security fund,the directly invested fund fails to yield obviously higher rate of return while those entrusted fund can yield obviously higher rate of return.The innovation of this thesis is mainly reflected as follows.First,in terms of research objects,unlike the previous studies of institutional investors or securities investment funds,this thesis takes social security funds as the research subject.On the one hand,the nature of the Social Security Fund's public funds has received more attention from investors.Whether or not it has a positive impact on the market volatility is of great significance.On the other hand,compared with previous studies,as the funds for social security funds expand,the capital market influence has gradually increased.Second,in terms of research methods,in order to alleviate endogenous problems,this thesis uses propensity score matching method to conduct research.Considering that the social security fund may have a certain stock selection preference,the stock volatility of companies held by social security fund is born to be low,which raise serious endogenous problems.Thirdly,in terms of research perspective,in the measurement of social security fund investment,considering the interest constraints faced by fund managers under the differential investment modes,this paper is different from the previous research on the shareholding ratio or whether to hold shares,this thesis focus the difference between the differential investment modes.Fourth,in terms of research content,this thesis also considers the influence of the external market conditions,and distinguishes the influence of different market conditions on the impact of the social security fund differential investment.The main consideration is that the social security fund requires higher requirements on safety,it is more sensitive to bear market,so this thesis will further make a research about the... |
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