投资者结构对流动性黑洞的影响——来自中国A股市场的经验证据  

The Impact ofInvestor Structure on the Liquidity Black Hole ——Empirical Evidence from A-share Market

作　　者：郭乃幸[1] 杨朝军[1] 龚霄[2] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052 [2]上海交通大学媒体与设计学院,上海200240

出　　处：《系统管理学报》2014年第1期62-69,共8页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70773075)

摘　　要：流动性黑洞是流动性风险爆发的极端形式,而投资者结构是其重要影响因素之一。在归纳总结流动性黑洞涵义的基础上,利用A股市场面板数据,研究噪音交易者和知情交易者数量对证券市场流动性黑洞发生频率的影响。进一步采用对照组研究方法,研究我国投资基金是否为知情交易者,基金重仓对资产流动性黑洞的影响。最后,研究同一基金系旗下基金扎堆投资方式对流动性黑洞的影响。实证结果表明:知情交易者越多,流动性黑洞爆发频率越低,而噪音交易者越多,流动性黑洞爆发频率则越高;基金在我国表现为知情交易者,具有稳定市场作用,基金重仓股流动性黑洞发生概率较小;同一基金系旗下基金扎堆的投资方式不会增大流动性黑洞发生风险。Liquidity black hole is outbreak of the extreme liquidity risk and investor structure is one of the essential factors for forming liquidity black hole. We summarize discussions of liquidity black hole and, by using panel data of A-shares, study the impact of the quantity of noisy traders and informed traders on the frequency of securities market liquidity black holes. We then use the comparison-group method to find whether investing funds are informed traders by our definition, through studying the black holes＇ performance of overweight stocks held by funds. In addition, we study the black holes＇ characteristics of the stocks held by multiple funds from the same fund management company. The results show that, the more informed traders, the lower frequency of liquidity black holes; the more noise traders, the higher frequency of liquidity black holes; Institutional investors play a role of market stabilizers and stocks over-weighted by funds are less likely to fall into the liquidity black holes; Funds from the same fund management company holding one stock will not increase the risk of liquidity black holes.

关 键 词：流动性黑洞 流动性风险 知情交易者 噪音交易者 投资者结构 

分 类 号：F832.5[经济管理—金融学]