机构交易的正面效应:波动率和市场效率的视角  

Positive influence of institutional trading:The perspectives of volatility and market efficiency

作　　者：林忠国[1] 韩立岩[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191

出　　处：《系统工程理论与实践》2011年第4期606-616,共11页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金重点项目(70831001);创新研究群体项目(70821061)

摘　　要：机构投资者能否稳定市场和改善市场效率尚无定论.通过检验不同类型机构投资者的交易行为对波动率和信息效率的影响,基于非平衡面板数据两阶段最小二乘回归模型提供了新的证据.除保险公司以外的机构投资者的交易行为有助于公司私有信息融入股价,使股价更加贴近基本价值,进而提高信息效率和降低波动率.股价信息含量的稳健性检验进一步证实了机构投资者全体和基金的交易行为使股价反映更多的当期和未来盈余信息.整体而言,机构投资者确实起到了稳定市场和改善市场效率的作用,但保险公司在降低波动率和提高信息效率方面没有显著作用.There is no consensus on whether or not institutional investors stabilize market and improve market efficiency.This paper investigates the effect of institutional investors of different categories on volatility and informational efficiency,and unbalanced panel 2SLS regression used in this paper provides new evidence.Except for insurance company,all types of institutional trading help stock price incorporate firm-specific information,which makes stock price track fundamentals closely,increases informational efficiency and decreases volatility.Price informativeness checks further confirm institutions as a whole and fund enable stock price to compound more current and future earnings information.Institutional investors indeed stabilize stock market and improve market efficiency,however,trading of insurance company does not decrease volatility or increase informational efficiency.

关 键 词：机构交易 波动率 特质波动率 信息交易概率 

分 类 号：F830.91[经济管理—金融学]