机构投资者参与行为对我国股市波动性的影响  

Impact of Institutional Investors' Participatory Behavior on the Volatility of China's Stock Market

作　　者：王晓彦 石涛 Wang Xiaoyan;Shi Tao(School of Business,Suzhou University of Science and Technology,Suzhou 215009,China;Chengdu Branch,Postal Savings Bank of China,Chengdu 610021,China)

机构地区：[1]苏州科技大学商学院,江苏苏州215009 [2]中国邮政储蓄银行成都分行,四川成都610021

出　　处：《金融理论探索》2018年第4期21-28,共8页Exploration of Financial Theory

基　　金：教育部人文社会科学重点研究基地重大项目"我国金融风险管理和监管问题研究"(11JJD790009)

摘　　要：通过实证研究机构投资者的参与行为指标与股市波动性之间的关联性发现,机构投资者规模的发展有助于稳定证券市场震荡幅度,机构中理性投资人占比越大,对股票市场的波动性抑制越强;仓位变化可以反映投资者的操作意图,在单位时间内持仓变动越大,越可能引起股票市场的震荡现象发生。根据研究结论,提出了优化市场环境、完善投资者结构以及强化退出政策等政策建议。The paper did empirical study on the relationship between institutional investors’participatory behavior and stock market volatility and found that the institutional investors’scale is helpful in stabilizing the volatility of the securities market.The greater the proportion of the rational investors,the weaker the volatility of the stock market.The position of the change can be a good response to the operators’intention to operate in the unit time.The greater change in positions may be more likely to cause shocks in stock market.Based on the conclusion,the paper proposes countermeasures of optimization of operation environment,perfection of investor structure and enhancement of withdrawal mechanism of stock market.

关 键 词：机构投资者 股市波动性 羊群效应 

分 类 号：F830[经济管理—金融学] F832