机构投资者与市场定价效率的检验与反思

Institutional investors and the informational efficiency of prices

随着近年来中国股市的跨越式发展,以基金为代表的机构投资者规模迅速扩大。本文运用面板数据模型,研究2004年第2季度到2007年第4季度基金持股在不同市场周期阶段对市场定价效率的影响。实证研究发现:无论是熊市还是牛市,国内基金均降低了市场的定价效率,机构投资者的"超常规发展"并没有使市场更为理性。在此基础上,本文基于对西方主流文献的梳理,对机构投资者促进市场定价效率的三个减弱假设进行质疑和分析。

Along with the great boom in the equity market in the past few years, China＇ s institutional investors, especially the fund industry, have expanded dramatically. This paper focuses on the influence of funds＇ holdings on the market pricing efficiency during different market stages based on the panel data from the second quarter of 2004 to the fourth quarter of 2007. Our empirical study shows that funds＇ holdings actually lower the market pricing efficiency regardless in the bear market or the bull market and the ＇leapfrog development＇ of the institutional investors fails to lead to a more stable and rational market. After reviewing major literatures in this field, we question and analyze the three gradually weakened hypotheses in the relationship between institutional investors and market pricing efficiency.