机构投资者交易行为和股票价格趋势  

Institutional Investors' Trading Behavior and Stock Price Trend

作　　者：袁军[1] 周轩宇 

机构地区：[1]对外经济贸易大学金融学院

出　　处：《科学决策》2017年第12期55-76,共22页Scientific Decision Making

基　　金：国家自然科学青年项目(项目编号:71301027)

摘　　要：机构投资者是股票市场上重要的投资主体,其投资行为关系到股市的健康稳定发展。本文基于2005-2016年A股市场上市公司被机构投资者持股比例的季度数据,研究了机构投资者的交易行为以及其对股价趋势的影响。实证研究结果表明:第一,机构投资者是动量交易者,并且当期机构投资者持股比例越高,下期持股比例改变的越少;第二,机构投资者的动量交易行为会造成股票价格形成短期趋势,并且被机构投资者持股比例越高的公司,其股价趋势越弱;第三,采用技术指标可以获得α收益,在经过一些列稳健性检验后,α收益依然存在。本文的学术贡献在于:第一,实证研究发现了机构投资者的动量交易行为会受到其持股比例的影响,进而影响到股票价格的趋势;第二,用技术指标衡量了股票价格趋势的强弱,为技术指标有效性提供了依据。Institutional investors have become important investment subject in stock market, their trading behavior is related to healthy and stable development of stock market. Based on the quarter ownership ratio data owned by institution Institutional investors in A-share listed companies between 2005 and 2016, we empirical analysis the behavior of Institutional investors and find that, firstly, Institutional investors are momentum traders, momentum trading degree will be modified by their past ownership of the stock; Secondly, Institutional investors＇ momentum trading behavior will lead to stock price trend, and the more institutional ownership, the less remarkable trend. Finally, using trend strategy can gain o profit, after a series of robust test, a profit still exist. The academic contributions of this article are follows： first, we empirical analysis the past ownership of institutional investors will modify their momentum trading behavior, and then weaken price trend intensity; second, we use technical analysis to measure the intensity of the trend, which prove that technical analysis is profitable from another side.

关 键 词：动量交易 价格趋势 技术分析 均线策略 

分 类 号：F830.91[经济管理—金融学]