基本养老保险基金投资、股票收益率与股价波动性

以2017—2022年各季度基本养老保险基金投资数据为样本，考察基本养老保险基金投资对股票收益率与股价波动性的影响。结果显示：基本养老保险基金持股比例变化对股票未来收益率有一定预测效应，持股比例增加会加剧股价波动。异质性检验表明，被持股公司规模越大，持股比例变化对股票收益率的影响越不明显，对股价波动性影响的时滞性越强。对于短期持股而言，持股比例增加会加剧股价波动，而对于长期持股而言，持股比例增加有利于稳定股价。鉴于此，应继续推动基本养老保险基金全国统筹，进一步扩大其市场化投资规模、延长投资考核期限，提升基金可持续发展能力。

Pension Fund Investment, Stock Returns and Stock Price Volatility

The investment data of basic pension fund for each quarter from 2017 to 2022 are used as a sample to examine the effects of basic pension fund investments on stock returns and stock price volatility. The results show that changes in basic pension fund shareholding ratios have a predictive effect on future stock returns, and changes in shareholding ratios increase stock price volatility. Heterogeneity tests show that: the larger the size of the held company, the less significant the effect of shareholding ratios changes on stock returns and the stronger the time lag of the effect on stock price volatility. For short-term holdings, increases in shareholding ratios can exacerbate stock price volatility, while for long-term holdings, increases in shareholding ratios can help stabilize stock prices. In view of this, we should continue to promote the national coordination of basic pension funds, expand its investment scale and extend its investment appraisal duration, so as to enhance its sustainable development capacity.