机构投资者行为、投资者情绪与股票流动性

Institutional Investor Behavior,Investor Sentiment and Stock Liquidity

基于2012—2021年我国机构投资者持股比例季度数据,采用逐步回归法,研究机构投资者行为对股票流动性的影响,以及投资者情绪是否会产生中介效应。研究结果表明:股票流动性与机构持股行为呈负相关,投资者情绪的中介效应在股票流动性中得以显著体现。进一步检验后发现,参与主板市场交易的投资者情绪中介效应更显著。

Based on the quarterly data of institutional shareholding ratio in China from 2012 to 2021,this paper studies the impact of institutional investor behavior on stock liquidity and whether investor sentiment will have a mediating effect.The results show that stock liquidity is negatively correlated with institutional ownership behavior and positively correlated with trading behavior;In addition,the mediating effect of investor sentiment is significantly reflected in stock liquidity.After further test,it is found that the mediating effect of investors participating in the main board market is more significant.