机构投资者与股市波动性

Institutional Investors and the Volatility of Stock Market

本文在Sias(1996)和Faugere and Shawky(2003)方法的基础上,采用规范的实证研究方法,利用2001年至2004年期间在上交所上市的A股每日机构投资者持股比例、流通市值和复权价格数据,对中国资本市场中机构投资者与股市波动性之间的关系进行了实证研究。研究发现,在控制了公司规模的前提下,机构投资者持股比例与股票波动性之间存在显著的负相关关系。更深入的研究比较了从1999-2001年到2002-2004两个时间段之间,高机构持股和低机构持股的股票波动率的下降程度。结果表明,高机构持股的股票波动性在两个阶段之间有明显的下降,而低机构股票的波动性下降不够显著。本文的实证结果支持了机构投资者具有稳定市场功能的观点。

Using the methodology of Sias (1996) , Faugere and Shawky s (2003) , this paper examines the relationship between institutional investor holdings and stock volatilities in Chinese capital market. The data used includes daily institutional investor holdings, floating market capitalization and stock prices. This paper finds that there is a significant negative relationship between institutional investor holdings and stock volatilities with the control of sizes of the listed stocks. Furthermore, this paper ex...