| 机构投资者与股市波动性 | |
| 祁斌 ; 黄明 ; 陈卓思 ; Qi Bin ; Huang Ming ; Chen Zhuosi | |
| 2010-06-07 ; 2010-06-07 | |
| 关键词 | 波动性 机构投资者 资本市场 volatility, institutional investor, capital market F832.51 F224 |
| 其他题名 | Institutional Investors and the Volatility of Stock Market |
| 中文摘要 | 本文在Sias(1996)和Faugere and Shawky(2003)方法的基础上,采用规范的实证研究方法,利用2001年至2004年期间在上交所上市的A股每日机构投资者持股比例、流通市值和复权价格数据,对中国资本市场中机构投资者与股市波动性之间的关系进行了实证研究。研究发现,在控制了公司规模的前提下,机构投资者持股比例与股票波动性之间存在显著的负相关关系。更深入的研究比较了从1999-2001年到2002-2004两个时间段之间,高机构持股和低机构持股的股票波动率的下降程度。结果表明,高机构持股的股票波动性在两个阶段之间有明显的下降,而低机构股票的波动性下降不够显著。本文的实证结果支持了机构投资者具有稳定市场功能的观点。; Using the methodology of Sias (1996) , Faugere and Shawky' s (2003) , this paper examines the relationship between institutional investor holdings and stock volatilities in Chinese capital market. The data used includes daily institutional investor holdings, floating market capitalization and stock prices. This paper finds that there is a significant negative relationship between institutional investor holdings and stock volatilities with the control of sizes of the listed stocks. Furthermore, this paper examines calculates the decrease of stock volatilities for higher and lower institutional investor holding stocks from the period of 1999 -2001 when there was no open - funded to the period of 2002 - 2004 when open - end fund grew to become an important force in Chinese capital market. The results shows that the volatilities of high - institutional stocks decrease significantly from the first period to the second period, whereas the volatilities of lower institutional holding stocks show no significant decrease. These evidences support the point of statement that the institutional investors in Chinese capital market can stabilize the market.; “上海证券交易所联合研究计划”第十二期研究课题中的“证券市场有效性和机构投资者发展研究”课题的研究成果。 |
| 语种 | 中文 ; 中文 |
| 内容类型 | 期刊论文 |
| 源URL | [http://hdl.handle.net/123456789/38929]  |
| 专题 | 清华大学 |
| 推荐引用方式 GB/T 7714 | 祁斌,黄明,陈卓思,等. 机构投资者与股市波动性[J],2010, 2010. |
| APA | 祁斌,黄明,陈卓思,Qi Bin,Huang Ming,&Chen Zhuosi.(2010).机构投资者与股市波动性.. |
| MLA | 祁斌,et al."机构投资者与股市波动性".(2010). |
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