机构投资者增加了个股的短期风险吗?

Do Chinese Institutional Investors Make Stocks Riskier in Short-term Horizon?

文章基于2010-2015年的资金流量周度数据,构建时变系数向量自回归(TVP-VAR)模型对机构投资者短期交易行为进行分析。实证结果表明,机构投资者在市场稳定时期更倾向于规避风险,在牛市阶段更倾向于追求风险。机构大量买入后,个股的异质波动率和换手率显著提高,这一现象在牛市期间更为显著。机构投资者在个股层面并没有起到稳定器的作用,而是增加了个股的风险。

By using weekly money flow data in A-share market from 2010 to 2015,this paper investigates the short-term trad-ing behaviors of institutional investors by TVP-VAR model. Empirical results indicate that institutional investors prefer lessrisky stocks in steady market and more risky stocks in bull market. After intensively bought by institutional investors,stocksbecome more risky with higher idiosyncratic volatility. This phenomenon is more significant in bull market. Rather than play-ing a positive role of stabilizing individual stocks,institutional investors create new risks.