机构交易规模与市场信息环境——基于信息不对称视角的理论与实证研究

Institutional Trading and Market Informational Environment: Theoretical and Empirical Analysis under Information Asymmetry Framework

随着我国资本市场的开放和完善,越来越多的机构投资者将参与其中,然而机构交易的市场功能尚未有定论。本文在理性预期的理论框架下分析了机构交易规模对市场信息环境的影响。分析表明,机构投资者的信息交易将使价格更有效地反映资产潜在收益,从而提高市场效率;然而由于市场短期内仍存在大量个人投资者,机构交易规模扩大可能加剧个人投资者的逆向选择与羊群效应,从而降低市场流动性。为验证这一结论,本文结合我国开放式主动基金的详细持仓数据和上市公司数据,考察了机构交易规模对股市定价效率和流动性的影响,得到了与理论模型一致的结论。本文一方面肯定了我国大力发展机构投资者的战略规划对市场定价效率的积极作用,但同时也提示了投资者结构变化过程中可能存在的市场流动性风险。

China’s financial liberalization will attract more institutional investors to participate in the Chinese markets. However, academia has not agreed with the function of institutional trading. This paper studies the impact of institutional trading volume on the market informational environment under the rational expectation framework. Our analysis suggests that institutional trading increases price informativeness. However, in the short-term, there is a joint presentation of a large population of retail investors, whose adverse selection and herding behavior reduces market liquidity. To empirically test the above result, we use the holding data of the active open funds in China and the A-share firm data and find empirical evidence to our theoretical model. Our analysis suggests that developing institutional investors in China has a positive effect on price efficiency. At the same time, this paper shows the existence of liquidity risk in the process of investor structure improvement.