短期内机构投资者行为和股票价格的互作分析

Interaction between Institutional Investors' Behavior and Stock Prices of Corporations in Different Size——A short term Perspective

研究短期内机构投资者行为与不同规模公司股价的相互影响。在机构投资者对股价的影响方面,阐释并论证了机构持股比例增量与当日股价的正相关关系,指出机构对大盘股的影响强于对小盘股的影响。机构资金流入(流出)的定性信息本身对股价上升(下降)有额外的促进作用;相对于撤资而言,股价对机构的注资行为更敏感;而对小盘股,该不对称性更加明显。此外,当日收益率和前三天内的机构资金流入存在负相关关系,且该种负关系在大盘股中的表现比在小盘股中更为明显。在股价对机构投资者行为的反馈作用方面,以实证结果阐明了股价上升(下降)的信息本身可对机构行为有缓冲作用,且该作用对小盘股影响大于对大盘股的影响。研究显示,在短期内机构更倾向于动量交易,这在小盘股中尤为明显。三天前收益率对当日机构行为的影响颇为明显,且与一天前的收益率的影响力相当;相对而言,两天前收益率对机构行为的影响不甚明显。

The article studies the short-term interaction and mutual effect between institutional investors＇ behavior and stock prices of corporations in different size. With re- spect to the effect of institutional investors＇ behavior on stock prices, the article shows that stock prices rise when in stitutional investors pump funds into the stock, and this pos Rive relationship is more evident in large-cap stock than in small-cap stocks. The information itself that institutional investors are pumping （withdrawing） funds has extra stimula- tion to the rise （decline） of stock prices. Furthermore, stock prices are more sensitive to institutional investors＇ pumping funds, and this asymmetric phenomenon is more obvious in small-cap stocks. Besides, a stock＇s daily return has a nega tive relationship with institutional investment in previous three days, and this negative relationship is more evident in small-cap stocks. With respect to the effect of stock prices on institutional investors＇ behavior, the article also finds some conclusion. The information itself that institutional in vestors are pumping （withdrawing） funds seems to slow down the rise （decline） of stock prices, which is more evi dent to small-cap stocks. Furthermore, institutional inves- tors tend to hold momentum strategy, and this is also more evident to small-cap stocks. In addition, three-day-ago and one-day-ago return seems to have obvious effect to institutional investors＇ behavior, while the effect of two-day return is not significant.