基本养老保险基金投资、股票收益率与股价波动性OA北大核心CHSSCDCSTPCD

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 ap-praisal duration,so as to enhance its sustainable development capacity.