机构投资者与市场有效性

Institutional Investor and Market Effectiveness

本文将股票按照机构投资者持股比例高低分为不同子集,分别研究惯性和反转现象的发生情况。本文发现,不同投资者群体主导的股票子集表现出来截然不同的特征,机构投资者持股比例比较低的股票存在着比较明显的反转现象,而机构投资者持股比例比较高的股票存在着比较明显的惯性现象,两者从不同角度说明了中国股票市场有效性较低。进一步的研究检验了高机构持股的股票在不同的“持有期”延迟后的收益率表现,排除了高机构持股的股票的惯性现象是由市场炒作产生的可能性。本文提出个人投资者的反应过度倾向以及机构投资者的反应不足倾向可能是上述现象的原因。

This paper examines the performance of two groups of stocks： the group of stocks with higher institutional investor holding and the one with lower holding. Studies show that the returns of these two groups of stocks demonstrate different patterns. The returns of the groups show the characteristics of ＇ reversal＇ with lower institutional investor holding and the ＇momentum＇ with higher institutional investor holding respectively. Further studies examine the ＂momentum＂ characteristics of high institutional holding with different lagging periods, and exclude the pessibility of manipulation. This paper points out that the reversal and momentum patterns are due to the over- reaction of individual investors and under- reaction of institutional investors.