机构投资者、流动性与信息效率

Institutional investors,liquidity,and information efficiency

首次考察了机构持股、流动性以及二者的交互项对信息效率的影响.研究发现,基于3种不同的信息效率测度,机构持股比例的增加以及流动性水平的提高均会促进信息效率.进一步,通过引入机构持股与流动性的交互作用,发现中国证券市场一个有趣的现象:随着流动性水平提高,机构投资者持股比例的增加会在一定程度上减弱信息效率.这可能是因为伴随着高的交易量,机构投资者利用私有信息增持股份的信息被更多的投资者获取并加以模仿,导致股价有偏(如羊群行为)且所承载的私有信息减少,从而减弱了信息效率.

In this paper , we investigate how institutional ownership , liquidity and their interaction term affect the information efficiency .Based on three different metrics , the study shows that increasing the proportion of institutional ownership and raising the level of liquidity will promote information efficiency .Further , by intro-ducing the interaction-term of institutional ownership and liquidity into the regression model , we find an inter-esting phenomenon in the stock market of China：With the rise of the liquidity level , increase in institutional holding proportion will harm information efficiency in some ways .This is probably because along with high trading volume , the fact that institutional investors use private information to buy additional shares will be easi -ly obtained by other investors .Their imitational behavior will reduce the private information reflected by price , thus weakening the efficiency of information .