异质机构投资者对我国A股市场异常的影响研究  

Research on the Effects of Heterogenous Institutional Investors on the A-share Market Anomaly

作　　者：刘洋 王彦力 马杰[2] Liu Yang;Wang Yanli;Ma Jie(New Times Trust Co., Ltd.,Beijing 100020;School of Economics and Management,Beihang University,Beijing 100191)

机构地区：[1]新时代信托股份有限公司,北京100020 [2]北京航空航天大学经济管理学院,北京100191

出　　处：《金融发展研究》2019年第6期60-65,共6页Journal Of Financial Development Research

基　　金：国家自然科学基金“汇率市场变化、跨境资本流动与金融风险防范”(71850007);教育部社科基金“基于新Basel协议Ⅲ的金融市场风险度量方法及其应用研究”(13YJA790082)支持

摘　　要：市场异常是对有效市场理论的违背,但现实中却广泛存在。不同机构投资者通过持有和交易股票,对市场异常现象产生的影响应不同。本文实证度量了四种市场异常现象,发现我国A股市场明显存在盈余惯性和投资异常的现象,但无法证明另两种市场异常价格动量和价值溢价是否存在。实证结果验证了异质机构投资者对市场异常的影响方向与力度均存在明显差异。但令人惊讶的是,保险公司通过大量持有总资产体量较大的股票,更能促进而不是降低投资异常现象。通过对比机构投资者的持有量与交易量对四种市场异常的影响,没有发现机构交易量比持有量更能度量市场异常的经验证据。Market anomaly is a violation of efficient market theory,but it exists widely in reality. different institutional investors have different effects on market anomalies by holding and trading stocks. This paper empirically measures four kinds of market anomalies,and finds that there are obvious phenomena of earnings inertia and investment anomalies in China's A-share market,but it can not prove whether there are abnormal price momentum and value premium in the other two markets. The empirical results verify that there are significant differences in the direction and intensity of the impact of heterogeneous institutional investors on market anomalies. But surprisingly,insurance companies can promote rather than reduce investment anomalies by holding a large number of stocks with larger total assets. By comparing the effects of institutional investors' holding and trading volume on four kinds of market anomalies,we find no empirical evidence that institutional trading volume can better measure market anomalies than holding volume.

关 键 词：价格动量 盈余惯性 价值溢价 投资异常 异质机构投资者 

分 类 号：F832[经济管理—金融学]