市场关注与机构股市泡沫骑乘

Market-wide Attention and Institutional Investors’ Bubble Riding

中国股市难慢牛现象长期存在,指数创新高时往往伴随着市场的暴涨暴跌。本文用理性投机理论揭示了机构投资者在指数创新高时存在泡沫骑乘,从而导致市场的暴涨暴跌。研究发现,在指数刚创新高时,机构投资者出于对泡沫的关注会选择骑乘泡沫,直到指数创新高频次较高时卖出股票。机构投资者之所以能够进行泡沫骑乘,是因为随着指数创新高频次的增加,个人投资者情绪逐渐高涨并追逐泡沫。进一步从个股层面研究机构投资者行为,发现机构投资者会利用个人投资者有限关注,倾向于选择高关注度的股票进行泡沫骑乘,并在泡沫破裂前更倾向卖出低关注度股票。本文结果表明机构投资者会诱导非理性个人投资者参与追逐泡沫,导致资本市场脱离价值,严重损害个人投资者利益。

The phenomenon that the Chinese stock market is fast bullishness has existed for a long time. When the index hits a new high, it is often accompanied by a sharp rise in the market. This article uses rational speculation theory to reveal that institutional investors have bubble riding when the index hits a new high, which has led to a sharp rise and fall in the market. The study found that when the index just hit a new high, institutional investors would choose to ride the bubble out of concern about the bubble, and sell stocks until the index has a high frequency of innovation. The reason why institutional investors are able to ride the bubble is that as the frequency of index innovation increases, individual investor sentiment is gradually rising and chasing the bubble. Further study on the behavior of institutional investors from the individual stock level found that institutional investors will use the limited attention of individual investors, tend to choose high attention stocks for bubble ride, and are more inclined to sell low attention stocks before the bubble bursts. The results of this paper show that institutional investors will induce irrational individual investors to participate in the pursuit of bubbles, leading to the departure of the capital market from value, and seriously harming the interests of individual investors.