中国机构投资者真的稳定市场了吗?  

Do Chinese Institutional Investors Really Stabilize the Market?

作　　者：史永东[1] 王谨乐[1] 

机构地区：[1]东北财经大学应用金融研究中心,邮政编码116025

出　　处：《经济研究》2014年第12期100-112,共13页Economic Research Journal

基　　金：国家自然科学基金(71471031;71171036;71072140);国家社会科学基金重大项目(12&ZD067);国家社科基金重点项目(14AZD089);辽宁特聘教授支持计划(辽教发[2013]204号);辽宁省教育厅人文社会科学重点研究基地专项项目(ZJ2013037;ZJ2013043);辽宁省教育厅科学研究一般项目(W2013206);东北财经大学2014年校级创新团队项目(DUFE2014T01)的资助

摘　　要：机构投资者能否起到稳定市场的作用一直是管理层和学术界讨论的焦点。考虑到机构投资者的择股偏好与股票波动之间存在的内生性问题,本文运用倾向得分匹配模型(PSM),筛选出与机构重仓股"相仿"的未被机构重仓持有的股票,从微观层面检验了我国以证券投资基金为代表的机构投资者对市场波动性的影响。研究发现:(1)机构投资者偏好财务优良、治理有效的公司,而此类公司的股票往往呈现出更低的波动性。(2)在市场上升阶段,机构投资者提高了股票的波动性;而在市场下降阶段,机构投资者虽然起到了降低股票波动的作用,却未能阻止股价继续下行。(3)机构投资者的买入行为与股票的期内收益存在很强的正向关系,而在滞后期中机构重仓股并未显现出更高的收益率,这意味着对于个体投资者而言,通过追踪基金公布的季度持仓数据来选择股票已经错过了最佳买入时期。Whether Institutional investors play a positive role in stabilizing the market has always been a hot problem within the academic and business. Taking into account of the endogenous problem between the stock selection preferences of institutional investors and stock volatility, this paper uses propensity score matching methods to pick out stocks with lower institutional ownership but very ＂similar＂ to the stocks which with higher institutional ownership and examines the impact of China＇s institutional investors on the market volatility from the micro perspective. The analysis finds that： （ 1 ） institutional investors prefer investing companies with good financial conditions and effective corporate governance, and such company stocks tend to exhibit lower volatility. （2） During the rising phase of the market, institutional investors increased the volatility of the stock, while during the decline stage, although institutional investors reduced stock volatility, failed to stop the stocks price going downward. （3） Furthermore, there is a strong positive relationship between institutional investors＇ buying behavior and stock gains in the corresponding period. But stocks with higher institutional ownership showed no higher rate of return in the lag period, which seems to imply that the individual investors who want to follow the institutions＇ trading may have missed the best buying time.

关 键 词：机构投资者 波动性 倾向得分匹配 

分 类 号：F832.5[经济管理—金融学]