制度环境、异质机构投资者与股价信息含量

Institutional Environment, Heterogeneous Institutional Investors and Stock Price Informativeness

从股价信息含量角度对不同类型机构投资者的公司治理效应进行研究,结果发现,机构投资者持股和交易行为影响股价信息含量,其中,证券投资基金的交易行为显著降低了股价信息含量,而险资和合格境外机构投资者(QFII)的交易行为则显著提高了股价信息含量。在制度环境较好的地区,机构投资者对股价信息含量的影响更加显著。研究结果表明,机构投资者尤其是险资和QFII的持股和交易行为有助于提升股价的信息含量,只有继续优化机构投资者结构并规范其行为,才能充分发挥其公司治理职能,提高市场效率。

Based on the data of listed companies during 2005-2011 in China, this paper investigates the empirical relationship between institutional environment, heterogeneous institutional investors and stock price informativeness. The paper finds that stock price informativeness, as measured by stock price non-synchronicity, is positively related to the fraction of shares held and traded by institutional investors. In addition, trading by mutual funds tends to lower stock price informativeness, while trading by insurance and pension funds as well as Qualified Foreign Institutional Investors （QFII） tend to increase stock price informativeness. Moreover, the unique institutional environment in China affect the relationship between heterogeneous institutional investors and stock price informa- tiveness. The findings of this paper indicate that institutional investors, especial insurance and pension funds and QFII, have positive effect on stock price informativeness. Therefore, to strengthen the effectiveness of corporate governance, the Chinese government should continue to improve institutional environment and provide better supervision.