机构投资者对暴涨暴跌的抑制作用:基于中国市场的实证

Institutional Ownership and Extreme Price Movements:Evidence from Chinese Markets

本文利用2006年至2015年间中国市场的机构投资者持股数据,考察机构投资者在抑制股价暴涨、暴跌方面的作用。实证结果表明,机构投资者的持有量增加显著降低了股票价格暴涨、暴跌的发生,而且抑制作用对于暴跌现象更为显著,在股权结构更集中、信息透明度更高及市场波动率更大的股票中更为显著。实证结果丰富了对机构投资者通过发挥监管作用稳定市场的相关研究。

Extreme price movements are harmful to any stock market. Does and how institutional ownership help to reduce extreme price movements？ In this paper, we examine whether the institutional holdings can reduce the incidence of extreme price movements based on data sample from 2006 to 2015 of China＇ s stock markets. The empirical results show that, keeping other things equal, larger institutional ownership can dramatically reduce the frequency of extreme price movements, which is consistent with prior theoretical prediction that institutional ownership could play a monitoring role on the listed companies. Moreover, the mechanism is stronger for stock price crash. It is also found that the effect of institutional ownership turns to be stronger for firms with more concentrated ownership structure, more public information availability, and higher stock market volatility. The empirical results are very robust with respect to different model specifications, alternative proxies, and various robustness checks.