机构投资者的异质性及其对股票市场的影响  

The Heterogeneity of Institutional Investors and Its Influence on Stock Market

作　　者：黄少安[1] 邢宇 杨晨姊[1] Huang Shao-an;Xing Yu;Yang Chen-zi(Center for Economic Research,Shandong University,Jinan Shandong 250100)

机构地区：[1]山东大学经济研究院,山东济南250100

出　　处：《经济纵横》2022年第8期107-118,F0002,共13页Economic Review Journal

摘　　要：本文提出理论猜想:即使在同一个市场,不同的机构投资者可能具有异质性,从而对资本市场的作用也可能是异质的。对中国股票市场的实证分析证实了这一猜想,具体表现为:公募基金、社保基金、QFII持股体现了对未来价值信息的追求,也促进了股票未来价值信息融入股价中,而受监管较少的私募基金既未体现出对价值信息的关注,也未能促进价值信息融入股价中。目前占比最高的公募基金和私募基金,持股不仅未能降低股票价格的波动率,反而增加了市场波动,其他类型的机构投资者对股价波动有一定缓解作用。相对而言,受监管最严格的社保基金持股在价值信息发现、提高股票市场的价格效率、降低股价波动三个方面均表现良好,注重价值投资而非热点信息炒作;受监管程度次之的公募基金在价值信息发现、提高股票市场的价格效率方面表现良好,但未能有效降低股票价格波动,其持股同时体现出价值投资和信息炒作投机行为;而监管宽松的私募基金持股既不能体现价值追求,也不能改善市场信息效率和波动水平。因此,应继续支持并鼓励各类机构投资者的成长与发展,同时加强对机构投资者、特别是私募基金的规范与监管。This paper proposes the theoretical conjecture that even in the same market,different institutional investors may be heterogeneous and thus may have heterogeneous effects on the capital market.An empirical analysis of the Chinese stock market confirms this conjecture as follows:public funds,social security funds,and QFII holdings reflect the pursuit of future fundamental information and promote the integration of future this information into stock prices.While private equity funds,which are less regulated,neither reflect the concern for value information nor promote the integration of this information into stock prices.Public funds and private equity funds,which currently account for as the majority of the fund market share,their holdings fail to reduce stock price volatility and increase market volatility simultaneously.On the contrary,other types of institutional investors mitigate the stock price volatility.Social security fund perform relatively well among others in the following perspectives:fundamental information discovery,improving the price efficiency of the stock market,and reducing stock price volatility.This indicates the security fund focus more on value investment rather than the information speculation.The less regulated institutions,public equity fund perform well in fundamental information discovery and price efficiency but fails to effectively reduce stock price volatility.Their stock holding data reflect on their trading both on value investment and information speculation.However,the private equity which applied least regulation,their holdings neither reflect value pursuit nor improve market information efficiency and volatility levels.Therefore,it should be more encouraged for the growth and development of institutional investors under various categories with the strengthen of the regulation and supervision related,particularly for private equity fund.

关 键 词：机构投资者异质性 股票市场 价值信息 价格波动率 

分 类 号：F832.51[经济管理—金融学]