摘要
机构投资者是否能够稳定市场是一个值得研究的问题。本文使用2000年一季度至2012年四季度的样本,从持股比例及其变化两个角度研究了机构投资者对股票波动的影响,并使用工具变量法解决了核心解释变量的内生性问题。实证结果表明,较高的基金持股比例会增加下一期的股票波动,而基金的增持则会减小下一期股票波动。此外,本文发现基金持股比例及其变化两者之间存在着交互作用。本研究为研究机构投资者的作用提供了新的思路。
Whether institutional investors stabilize the market is an issue worthy of study. Using the data from the 1st quarter of 2000 to the 4th quarter of 2012, we analyze how mutual funds effect on stock volatility in terms of fund holding and its change. We introduce instrumental variable method to solve the endogenous problem of core explanatory variables. The empiri- cal results show that fund holding is positively correlated with stock volatility in next quarter, while its change is negatively correlated with stock volatility. In addition, we find the interaction between fund shareholding ratio and its change when they influence on stock volatility. The methods and conclusions developed in this paper may inspire further study on the issue.
出处
《投资研究》
北大核心
2014年第9期135-146,共12页
Review of Investment Studies
关键词
机构投资者
基金
股票波动
工具变量
Institutional Investor
Mutual Fund
Stock Volatility
Instrumental Variable
