机构持股、分析师跟进与股票波动关系研究——基于联立方程组模型的实证分析  

Research on the Relationship of Institutional Ownership, Analyst following and Stock Volatility ——A Empirical Study of Nonlinear Simultaneous Equations Mode

作　　者：邢治斌[1] 仲伟周[1] 

机构地区：[1]西安交通大学经济与金融学院

出　　处：《湖南师范大学社会科学学报》2014年第2期120-127,共8页Journal of Social Science of Hunan Normal University

基　　金：国家自然科学基金项目"我国企业社会责任履责不足的诱因及其激励机制研究"(71172184);教育部"新世纪优秀人才支持计划"项目"我国产业资本与金融资本有效融合的理论;模式;绩效与管制研究"(NCET-08-0450)

摘　　要：机构投资者和证券分析师迅猛发展,然而我国股市依然存在暴涨暴跌、个股炒作等现象,因此继续探索机构投资者、分析师与股票波动的关系十分必要.以2005～2011年A股上市公司数据为样本,运用非线性联立方程组模型对机构持股、分析师跟进与股票波动的关系进行了实证分析.研究发现,机构持股会增大股票价格波动,股票价格波动与机构持股比例呈倒U型关系;分析师跟进对稳定股市的总体效果不明显,仅在制造业和批发零售贸易业作用比较显著,股票价格波动与分析师跟进同样呈倒U型关系;机构持股与分析师跟进呈正相关关系,二者均有利用股价波动谋取私利的行为特征;机构持股、分析师跟进与股票波动的相互影响关系在不同时期的差异性较小,而在不同行业之间的差异性较大,对于制造业等上市公司,三者相互影响关系显著,但对于管制较为严格的金融保险业等上市公司,三者的相互影响关系不显著.Although the institutional investors and securities analysts are developing rapidly, large fluctuation of stock price and stock hype still exist, so it is necessary to reexplore the relationship between institutional investors, analysts and stock volatility. With the 2005-2011 data of A-share listed companies, this paper makes an empirical analysis about the relationship of institutional ownership, analyst follow and stock volatility with the non-linear simultaneous equations model. It is found that institutional ownership increases the volatility of the stock market, there is a nonlinear inverted U-shaped relationship between stock market volatility and institutional ownership proportion; the effect of analysts fol- low-up on the stability of the stock market is not obvious, but it is significant on the stability of the stock price in manufacturing, wholesale and retail trade; stock market volatility and analysts follow-up are the same inverted U-shaped relationship; institutional ownership and analyst follow-up has a positive correlation, both are concerned about personal gain by taking advantage of stock price volatility; the mutual relationships among analysts follow-up, stock fluctuations and institutional ownership are different in different industries. For listed companies in manufacturing and other industries, the interaction of the three relationship is significant, but for listed companies in financial and insurance industries, which have more controls , the relationship of the three variables interaction is not significant.

关 键 词：机构持股 分析师跟进 股票波动 

分 类 号：F224[经济管理—国民经济] F832.51