摘要
文章选取2013年末上海证券交易所A股作为研究样本,运用Stata12、Excel软件,通过统计描述分析、分类回归、截面多元回归等分析了不同机构投资者对股价的差异性影响。实证研究表明,机构总体、基金、其他机构、券商和社保对股价的影响有较高的显著性;基金、券商、保险持股越高越有利于降低价格冲击指数,缩小有效价差,但降低了市场深度,社保和信托作用则正好相反;基金、社保和QFII持股增加使股价波动率增加,不稳定性增加,其他机构、券商、保险与信托则作用相反。国家监管机构须引导和鼓励机构投资者理性投资、业务创新和开展高端竞争并走差异化发展之路。
By selecting the Shanghai Stock Exchange A-share at the end of 2013 as samples, using Stata12 and Excel software, this paper studies the differences in the effects of different institutional investors on the stock price through descriptive statistics analysis , classification regression and multivariate regression. Empirical studies show that the overall organization, funds, other institutions, brokerage, social insurance has a higher impact on the share price;the higher the fund, brokerage, insurance holdings, the more help to reduce price shocks , the effective spread and the market depth, but social insurance and trusts have the opposite effect;funds, social insurance and QFII holdings increased volatility and instability, but other agencies, brokerage, insurance and trusts have the opposite effect. National regulatory authorities must guide and encourage institutional investors to pay attention to the rational investment , business innovation, high level of competitionand and differentiated development.
出处
《技术经济与管理研究》
CSSCI
北大核心
2015年第6期103-107,共5页
Journal of Technical Economics & Management
基金
江苏开放大学"十二五"规划2014年度一般课题(14SEW-Y-014)
关键词
机构投资者
持股
证券投资
金融经济
Institutional investors
Holding shares
Securities investment
Financial and ecomomic