机构投资者持股与股价同步性分析

An Empirical Research on the Relationship between Institutional Investors and Stock Price Synchronicity

本文利用中国证券市场所有A股上市公司2005～2007年的面板数据,对股价同步性和代表机构投资者持股的三个变量——机构投资者持股比例、机构投资者持股变化和持股机构投资者数量进行回归统计,检验了机构投资者持股对股价同步性的影响。研究表明,代表机构投资者持股的三个变量都与股票股价同步性显著负相关,其中机构投资者持股变化是影响股价同步性的决定性因素,其他两个变量都是通过该变量发生作用的。这一结果说明机构投资者利用公司特质信息进行的基于信息的交易提高了股价中的信息含量,降低了股价同步性。

Using 3578 firm-year observations from 2005 to 2007 in Chinese A share market, this paper examines the relationship between the stock price synchronicity and institutional investors＇ shareholdings, whose proxies are three related variables-the proportion of the institutional investors＇ holding, the change of institutional investors＇ shareholdings, and the number of institutional investors. The result supports the hypothesis that all the three variables have a significant negative relationship with the stock price synchmnicity. The change of institutional investors＇ shareholdings is the most crucial factor in affecting stock price synchronicity, and both the other two variables play the role via the change of institutional investors＇ shareholdings. This result suggests that institutional investors trade stocks based on the firm-specific information, which increased the information content incorporated in the stock price and accordingly decreased the stock price synchronicity.