机构投资者类型对股市波动的影响

On the Effects of Institutional Investors′ Type on Volatility of Stock Market

本文以2007-2010年我国资本市场的整个波动周期为考察期间,在考虑了变量内生性的问题的基础上,采用2SLS方法实证分析了机构整体持股对于股价波动的影响。研究发现:机构整体持股对股市波动的影响因不同的市场状态而具有非对称性,并可以用市场状态假说进行解释;在对于机构分类的实证研究中发现,在控制内生性情况下,同一类别的机构投资者对股市波动的影响是随着市场的变化而变化;同时,即使在相同的市场环境下,不同的投资者对市场波动的影响也不相同。因此,需要辨证认识各类机构投资者的作用,针对不同机构投资者的特征及不同的市场状态采取不同措施以稳定市场。

Based on considering endogenous variable,the paper empirically analyzes the effects of institutional investors′ type on volatility of stock market with 2SLS method using the entire fluctuation cycle data from 2007 to 2010 in capital market of China.The Empirical results show that the effects are unsymmetrical due to different market conditions,which can be explained by market condition hypotheses.Further,in empirical research on institutional investors′ classification,considering endogenous variable,we find that the same types of institutional investors have different effects on volatility of stock market as the change of market conditions,and even in the same market condition,different types of institutional investors have different effects on volatility of stock market.Therefore,managers should have a dialectical understanding of the role of the various types of institutional investors and take different measures for different types of institutional investors under different market conditions in order to achieve the stability of stock price.