机构交易行为与中国股市波动实证研究

Empirical Studies on Trading Behavior of Institutions and Price Volatility in China Stock Market

本文采用2004年1月至2008年6月中国股票市场机构投资者的季度交易数据分析了机构交易与股票价格波动的相关关系。研究发现,机构投资者并非总是具有稳定股市的功能。机构交易对股价波动的影响随着投资者类型、股票市值和流动性水平、市场结构和环境的变化而变化。在"后股改"时代,市场将面临非流通股股本减持的巨大压力,政策制定部门应将机构与中小股东利益集合起来,针对不同市场情况机构买卖单产生的不同影响,制定公平有效的政策和监管机制。

Using a quarterly transactions database of Chinese institutions from January 2004 to June 2008, we investigate the relation between institutional trading and price volatility. We find institutions did not always stabilize the shares market. The impact of institutions＇ trades on price volatility could be changed by the difference of the institutions ＇ types, the levels of stocks ＇ size and liquidity, the market structures and environments. So, after the restriction of nontradable shareholders from trading begin to relax, we should combine the institutional interests with the individuals together. Considering the different impacts caused by institutional buy and sell orders during different market conditions, we must set down the impartial and efficient policies to make the institutions stabilize the shares market.