机构投资者对中国股市波动性影响的实证研究

The Empirical Evidences for Institutional Investors' Influence on the Return Variability of China's Stock Markets

以中国股票市场上的上证指数与深证成份指数的日收益率为样本,采用GARCH与EGARCH模型,来研究机构投资者对中国股票市场波动性的影响。实证研究的结果发现,在大力发展机构投资者后,股指收益率波动性数值减小,波动的平稳性增强,波动的杠杆效应减弱,这表明机构投资者能够有效地降低股市的波动性。

This paper takes the daily returns of the Shanghai Composite Index and the Shenzhen Component Index as samples and employs GARCH and EGARCH models to research into the influence of the institutional investors on the return variability of China＇s stock markets. The empirical evidences reveal that institutional investors＇ extensive entry into the stock markets has decreased the return variability, enhanced its stability and reduced the leverage effect on the return variability. This finding shows that institutional investors can effectively bring down the return variability of the stock market.