Research On The "Window-dressing Behavior" In Stock Market Investment Of China's Social Security Fund

The Social Security Fund is an important safeguard fund in China and bears the strategic mission of the country.Its investment operations need to be effectively supervised and managed.It is also a commission-agent type of institutional investor,does the Social Security Fund's investment process also have a fraudulent "window behavior" ? How to identify this behavior for investors and regulators? This article had devoted research to these issues.First,through theoretical analysis,it is found that the investment manager responsible for the specific investment of the social security fund stock market depends on the best decision under the different types of games of the social security fund.In the bear market,the social security fund investment manager will make “window behavior” because of the high risk preference of the social security fund.Under the bull market,the social security fund investment managers are more likely to choose their own aggressive investment behavior because the penalty costs within the social security fund investment managers are reduced,and the social security fund investment managers are more likely to choose their own “window behavior”.Then,through the statistical analysis of the historical position data of the social security fund,it is found that the signs of “window behavior” exist in the “new entry-exit” position stock sample of the social security fund investment management portfolio.Then combined with the definition of "window behavior",using the statistical test method to verify the existence of the combined window decoration behavior of the social security fund under the bear market;In the bear market,due to the pressure of annual evaluation,the social security fund significantly used the window of the end of the annual report to perform performance window decorations;while in the bull market,the performance window display behavior is widespread.Finally,this paper conducts an expansive study on the factors affecting the behavior of the two types of window decorations in social security funds,in order to use these factors to judge the degree of window deco ration of social security funds.The combination of window ornaments with strong performance under the bear market is mainly produced by a small-scale social security fund combination.Many stocks with high participation in the previous period were used as window coverings;The performance window decoration tends to be stronger in the bull market,the management fund is small,the internal fund manager is not adequately configured,or the social security fund combination is the window-driven power.Individual stocks that were not actively traded in the previous period offered more opportunities for window coverings.Thus when paying attention to the information of social security fund positions,the size of the above characteristics can effectively reflect the degree of window decoration of the social security fund.According to the conclusions and problems of the research,this paper proposes corresponding countermeasures and suggestions from the perspective of investors following investment and social security fund supervision.