投资者结构与股价波动关系——基于理论的思考  

Relationship between Proportion of Institutional Investors and Stock Price Volatility

作　　者：何佳[1] 何基报[2] 

机构地区：[1]香港中文大学工商管理学院 [2]深圳证券交易所综合研究所

出　　处：《南方经济》2006年第2期80-90,共11页South China Journal of Economics

摘　　要：长期以来,人们认为机构投资者可以稳定股市。本文从更广的视角研究了投资者结构与股价波动的关系。本文结论如下:(1)在市场产品机构、交易制度和规则体系等要素给定的情况下,股价波动是投资者结构参数的函数。(2)机构投资者与稳定股市没有必然的联系。即使在市场的产品结构和交易制度等要素给定的情况下,不同的投资者结构中机构投资者比例的增加既可以增加股价波动,也可以减少股价波动。(3)在一些投资者结构中,股价波动反而随着理性机构投资者比例的增加而增加。即使在投资者结构中其他参数相同的情况下,理性机构投资者的比例过多或过少均有可能增加波动。(4)即使在上市公司不分红且没有重大利好消息支持股价的情况下,在一定的投资者结构中,机构投资者仍能通过买入来制造股价波动,并从中获利,但这种策略能够成功依赖于市场中其他类型投资者的结构。(5)适度的羊群行为会使股价波动最小,而过强或者过弱的羊群行为都使股价波动增加。Institere investors are long been thought as important strength for stabilizing the stock market by people in China. In this paper, we build theory models to study the relation between the structure of investors and market volatility. Our conclusion are as follows： （1）the volatility of stock price is function of parameters of investor structure when the dements of market are given, such as product structure, trading system.（2）there are no certain relations between stabilizing volatility and institute investors, the increase of institute investors can increase volatility ,and can also decrease volatility.（3）in some situation, then increase of rational institute investors can increase and also decrease volatility of stock price. （4）Institute investors maybe get positive return by trading to make volatility in some structure of investors even ff there is no dividend. （5）moderate herd behavior for institute investors can minimize stock price volatility, and less or excess herd behavior may both increase volatility.

关 键 词：投资者结构 股价波动 正反馈交易 

分 类 号：F830.9[经济管理—金融学]