机构投资者行为与股价关系实证研究
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摘要
在金融全球化的背景下,随着技术的创新和投资理念的深入,全球金融市场结构发生了根本性的改变,为促进证券市场的健康发展,我国大力发展机构投资者,丰富证券市场参与主体。
本文介绍了我国机构投资者发展现状,从理论角度描述了机构投资者行为和股票收益率与波动率之间的相互关系：机构投资者具有相对理性,能够提高股票市场的有效性,机构投资者的短视行为亦能引起股票市场的无序波动,股票收益率能够影响机构投资者的决策行为。利用机构投资者高频分笔数据,构建了机构买比和机构卖比作为机构投资者行为指标,采用结构向量自回归模型和面板数据模型分别从市场角度和个股角度分析机构投资者买卖行为与股票收益率与波动率之间的关系,研究结果表明：机构投资者买卖行为与股价之间存在相互影响关系,机构投资者买入和卖出对股票收益率分别存在正向和负向影响,对股票波动率存在正向影响,机构投资者买入行为对股票波动率影响更加显著,机构投资者行为能够加剧股票市场波动；股票收益率对机构买入和卖出分别存在的正向和负向影响,股票收益率对机构投资者行为冲击的持续时间较长,机构投资者采取正反馈交易策略,股票波动率对机构投资者行为影响并不明显。为促进我国证券市场的健康、平稳发展,我国大力发展机构投资者数量和规模有其必要性和可行性,但必须有配套的政策法规作支撑,丰富机构投资者参与主体也显得尤为重要。
The structure of the global financial markets has undergone a fundamental change along with the innovation of the investment technology and the deepening of the investment concept in the context of financial globalization. Our country strive to develop institutional investors and enrich the securities markets'participants in order to promote the healthy development of securities markets.
This essay describes the development status of institutional investors in China. It analyzes the relationship between the institutional investors'behavior and the returns and volatility of stocks from the theoretical angle:on the one hand, institutional investors who are relatively rational, prefer less volatile stocks and use the portfolio diversification strategy, which means institutional investors can enhance the validity of stock market; on the other hand, stock returns can affect institutional investors' behavior, short-sighted behavior of institutional investors can exacerbate the volatility of market. The paper constructs institutions buy and sell indicator index as institutional investor indicator, uses institutional investors high-frequency sub-pen data, and uses structural VAR model and panel data models to analyze the correlation between trading behavior of institutional investors and the returns and volatility of stocks. The results of the study show that:there are multiple influences between the trading behavior of institutional investors and stock prices. On the one hand, institutional investors' buying and selling have a positive and negative impact on the stock returns respectively. They have positive effects on the stock price volatility and institutional buying's effect is more significant. Institutional investors'behavior can destabilize the stock market. On the other hand, stock returns have a positive and negative impact on the institutional investors'buying and selling respectively. The influence of stock returns lasts long on the institutions'trading behavior. Institutional investors take positive feedback trading strategy, and stock price volatility's influence on investor behavior is not obvious. To guard the healthy and stable development of security market in China, it is necessary and feasible to increase institutional investors'number and enlarge their scale, and it should be supported by complementary policies and regulations. Besides, to enrich the institutional investors'participant is also especially important.
本文介绍了我国机构投资者发展现状,从理论角度描述了机构投资者行为和股票收益率与波动率之间的相互关系：机构投资者具有相对理性,能够提高股票市场的有效性,机构投资者的短视行为亦能引起股票市场的无序波动,股票收益率能够影响机构投资者的决策行为。利用机构投资者高频分笔数据,构建了机构买比和机构卖比作为机构投资者行为指标,采用结构向量自回归模型和面板数据模型分别从市场角度和个股角度分析机构投资者买卖行为与股票收益率与波动率之间的关系,研究结果表明：机构投资者买卖行为与股价之间存在相互影响关系,机构投资者买入和卖出对股票收益率分别存在正向和负向影响,对股票波动率存在正向影响,机构投资者买入行为对股票波动率影响更加显著,机构投资者行为能够加剧股票市场波动；股票收益率对机构买入和卖出分别存在的正向和负向影响,股票收益率对机构投资者行为冲击的持续时间较长,机构投资者采取正反馈交易策略,股票波动率对机构投资者行为影响并不明显。为促进我国证券市场的健康、平稳发展,我国大力发展机构投资者数量和规模有其必要性和可行性,但必须有配套的政策法规作支撑,丰富机构投资者参与主体也显得尤为重要。
The structure of the global financial markets has undergone a fundamental change along with the innovation of the investment technology and the deepening of the investment concept in the context of financial globalization. Our country strive to develop institutional investors and enrich the securities markets'participants in order to promote the healthy development of securities markets.
This essay describes the development status of institutional investors in China. It analyzes the relationship between the institutional investors'behavior and the returns and volatility of stocks from the theoretical angle:on the one hand, institutional investors who are relatively rational, prefer less volatile stocks and use the portfolio diversification strategy, which means institutional investors can enhance the validity of stock market; on the other hand, stock returns can affect institutional investors' behavior, short-sighted behavior of institutional investors can exacerbate the volatility of market. The paper constructs institutions buy and sell indicator index as institutional investor indicator, uses institutional investors high-frequency sub-pen data, and uses structural VAR model and panel data models to analyze the correlation between trading behavior of institutional investors and the returns and volatility of stocks. The results of the study show that:there are multiple influences between the trading behavior of institutional investors and stock prices. On the one hand, institutional investors' buying and selling have a positive and negative impact on the stock returns respectively. They have positive effects on the stock price volatility and institutional buying's effect is more significant. Institutional investors'behavior can destabilize the stock market. On the other hand, stock returns have a positive and negative impact on the institutional investors'buying and selling respectively. The influence of stock returns lasts long on the institutions'trading behavior. Institutional investors take positive feedback trading strategy, and stock price volatility's influence on investor behavior is not obvious. To guard the healthy and stable development of security market in China, it is necessary and feasible to increase institutional investors'number and enlarge their scale, and it should be supported by complementary policies and regulations. Besides, to enrich the institutional investors'participant is also especially important.
引文
[1]Badrinath S G, Gay G D, Kale J R. Patterns of institutional investment, prudence, and the managerial "safety-net"hypothesis [J]. Journal of Risk and Insurance,1989,56 (4):605-629.
[2]Gompers P, Metrick A. Institutional investors and equity prices [J]. Quarterly Journal of Economics,2001,116 (1):229-259.
[3]Faugere C, Shawky H A. Volatility and Institutional investor holdings in a declining Marker:A Study of NASDAQ during the Year 2000 [J]. Journal of Applied Finance,2003,13 (2):32-42.
[4]Aggarwal R, Klapper L, Wysocki P. Portfolio preferences of foreign institutional investors [J]. Journal of Banking and Finance,2005,29 (12):2919-2946
[5]Lakonishok J, Shleifer A, Vishny R W. The impact of institutional trading on stock prices [J]. Journal of Financial Economics,1992,32 (1):23-43.
[6]Wermers R. Mutual fund herding and the impact on stock prices [J]. Journal of Finance,1999,54 (2):581-622.
[7]Bohl M T, Siklos P. Empirical evidence on feedback trading in mature and emerging stock markets [J]. Applied Financial Economics,2008,18 (17):1379-1389.
[8]Chang C. Herding and the role of foreign institutions in emerging equity markets [J]. Pacific-Basin Finance Journal,2010,18 (2):175-185.
[9]Chan L K, Lakonishok J. Institutional trades and intraday stock price behavior [J]. Journal of Financial Economics,1993,33 (2):173-199.
[10]Cai F, Zheng L. Institutional trading and stock returns [J]. Finance Research Letters,2004,1(3): 178-189.
[11]Chiyachantana C N, Jain P K, Jiang C, Wood R A. Volatility effects of institutional trading in foreign stocks [J]. Journal of Banking & Finance,2006,30:2199-2214.
[12]Froot K A, Scharfstein D S, Stein J C. Risk management:Coordinating corporate investment and Financing policies [J]. Journal of Finance,1993,48 (5):1629-1658.
[13]Grinblatt M, Keloharju M, The investment behavior and performance of various investor types:a study of Finland's unique data set [J]. Journal of Financial Economics,2000,55:43-67.
[14]Sias R W, Starks L T, Titman S. The prices impact of institutional trading, SSRN working paper No.283779.2001.
[15]Kaminsky G, Lyons R K, Schmukler S L. Managers, investors, and crises:mutual fund strategies in emerging markets [J]. Journal of International Economics,2004,64 (1):113-134.
[16]Kling G, Gao L. Chinese institutional investors'sentiment [J]. Journal of International Financial Markets, Institutions and Money,2008,18 (4):374-387.
[17]Schuppli M, Bohl M T. Do foreign institutional investors destabilize China's A-share markets [J]. Journal of International Financial Markets, Institutions & Money,2010,20 (1):36-50.
[18]Bailey W B, Cai J, Cheung Y L, Wang F. Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China [J]. Journal of Banking & Finance,2009,33 (1):9-19.
[19]Bohl M T, Brzeszczynski J, Wilfling B. Institutional investors and stock returns volatility: Empirical evidence from a natural experiment [J]. Journal of Financial Stability,2009,5:170-182.
[20]胡倩.中国基金持股偏好的实证研究[J].财经问题研究,2005,258(5)：50-55.
[21]翟伟丽,何基报,周晖,才静涵.中国股票市场投资者交易偏好及其对股价波动的影响[J].金融评论,2010,(3)：53-64.
[22]宋军,吴冲锋.基于分散度的金融市场的羊群行为研究[J].经济研究,2001(11)：21-27.
[23]施东辉.证券投资基金的交易行为及其市场影响[J].世界经济,2001,(10)：26-31.
[24]陈浩.中国股票市场机构投资者羊群行为实证研究[J].南开经济,309(3)：76-84.
[25]杨忻,王小征,滕召学.中国股市个人与机构投资者的羊群行为[J].清华大学学报(自然科学版),2004,44(12)：1610-1614.
[26]何基报,鲁直.中国证券投资者买卖决策的实证研究[J].复旦大学学报(自然科学版),2006,45(5)：585-593.
[27]祁斌,高峰,陈卓思.机构投资者与市场有效性[J].金融研究,2006,309(3)：76-84.
[28]徐捷,肖峻.证券投资基金动量交易行为的经验研究[J].金融研究,2006,313(7)：113-122.
[29]胡大春,金赛男.基金持股比例与A股市场收益波动率的实证分析[J].金融研究,2007,322(4)：129-142.
[30]陈卓思,高峰,祁斌.机构投资者交易行为特征研究[J].金融研究,2008,334(4)：122-130.
[31]李胜利.机构投资者股票投资行为与证券市场波动实证研究[J].经济纵横,2007,(2)：20-22.
[32]周学农,彭丹.机构投资者对中国股市波动性影响的实证研究[J].系统工程,2007,168(12)：58-62.
[33]周可峰.机构投资者行为对股票价格及其波动性影响的实证研究[D].2009,中南大学博士学位论文.
[34]Patro D K, Wu Y R. Predictability of short-horizon equity returns in international equity markets [J]. Journal of Empirical Finance,2004,11 (4):553-584.
[35]杨春鹏.非理性金融.科学出版社[M].2008,13-14.
[36]平湖,李菁.基金黑幕—关于基金行为的研究报告,财经,2010(10)
[37]Sias R W. Volatility and institutional investor [J]. Financial Analysis Journal,1996,2:13-20.
[38]Lee M C, Radhakrishna B. Inferring investor behavior:Evidence from TORQ data [J]. Journal of Financial Markets.2000,3 (2):83-111.
[39]Barber B M, Odean T, Zhu N. Systemetic Noise.AFA 2006 San Diego Meetings Available at SSRN:http://ssrn.com/abstract=474481.
[40]Barber B M, Odean T, Zhu N. Do retail trades market? [J]. Reviews of financial studies,2009,22 (1):151-186.
[41]李子奈.高等计量经济学[M].清华大学出版社,2003.
[42]张成思.金融计量学[M].东北财经大学出版社,2008.
[43]易丹辉.数据分析与Eviews应用[M].中国人民大学出版社,2006.
[44]伍德里奇.计量经济学导论—现代观点[M].中国人民大学出版社,2003.
[45]高铁梅.计量经济分析方法与建模Eviews应用及实例[M].清华大学出版社,2005.
[46]张晓峒.计量经济学基础[M].南开大学出版社,2001.
[47]王悦然.我国机构投资者行为与证券市场稳定性之间的关系研究[D].2010,华东师范大学硕士学位论文.
[2]Gompers P, Metrick A. Institutional investors and equity prices [J]. Quarterly Journal of Economics,2001,116 (1):229-259.
[3]Faugere C, Shawky H A. Volatility and Institutional investor holdings in a declining Marker:A Study of NASDAQ during the Year 2000 [J]. Journal of Applied Finance,2003,13 (2):32-42.
[4]Aggarwal R, Klapper L, Wysocki P. Portfolio preferences of foreign institutional investors [J]. Journal of Banking and Finance,2005,29 (12):2919-2946
[5]Lakonishok J, Shleifer A, Vishny R W. The impact of institutional trading on stock prices [J]. Journal of Financial Economics,1992,32 (1):23-43.
[6]Wermers R. Mutual fund herding and the impact on stock prices [J]. Journal of Finance,1999,54 (2):581-622.
[7]Bohl M T, Siklos P. Empirical evidence on feedback trading in mature and emerging stock markets [J]. Applied Financial Economics,2008,18 (17):1379-1389.
[8]Chang C. Herding and the role of foreign institutions in emerging equity markets [J]. Pacific-Basin Finance Journal,2010,18 (2):175-185.
[9]Chan L K, Lakonishok J. Institutional trades and intraday stock price behavior [J]. Journal of Financial Economics,1993,33 (2):173-199.
[10]Cai F, Zheng L. Institutional trading and stock returns [J]. Finance Research Letters,2004,1(3): 178-189.
[11]Chiyachantana C N, Jain P K, Jiang C, Wood R A. Volatility effects of institutional trading in foreign stocks [J]. Journal of Banking & Finance,2006,30:2199-2214.
[12]Froot K A, Scharfstein D S, Stein J C. Risk management:Coordinating corporate investment and Financing policies [J]. Journal of Finance,1993,48 (5):1629-1658.
[13]Grinblatt M, Keloharju M, The investment behavior and performance of various investor types:a study of Finland's unique data set [J]. Journal of Financial Economics,2000,55:43-67.
[14]Sias R W, Starks L T, Titman S. The prices impact of institutional trading, SSRN working paper No.283779.2001.
[15]Kaminsky G, Lyons R K, Schmukler S L. Managers, investors, and crises:mutual fund strategies in emerging markets [J]. Journal of International Economics,2004,64 (1):113-134.
[16]Kling G, Gao L. Chinese institutional investors'sentiment [J]. Journal of International Financial Markets, Institutions and Money,2008,18 (4):374-387.
[17]Schuppli M, Bohl M T. Do foreign institutional investors destabilize China's A-share markets [J]. Journal of International Financial Markets, Institutions & Money,2010,20 (1):36-50.
[18]Bailey W B, Cai J, Cheung Y L, Wang F. Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China [J]. Journal of Banking & Finance,2009,33 (1):9-19.
[19]Bohl M T, Brzeszczynski J, Wilfling B. Institutional investors and stock returns volatility: Empirical evidence from a natural experiment [J]. Journal of Financial Stability,2009,5:170-182.
[20]胡倩.中国基金持股偏好的实证研究[J].财经问题研究,2005,258(5)：50-55.
[21]翟伟丽,何基报,周晖,才静涵.中国股票市场投资者交易偏好及其对股价波动的影响[J].金融评论,2010,(3)：53-64.
[22]宋军,吴冲锋.基于分散度的金融市场的羊群行为研究[J].经济研究,2001(11)：21-27.
[23]施东辉.证券投资基金的交易行为及其市场影响[J].世界经济,2001,(10)：26-31.
[24]陈浩.中国股票市场机构投资者羊群行为实证研究[J].南开经济,309(3)：76-84.
[25]杨忻,王小征,滕召学.中国股市个人与机构投资者的羊群行为[J].清华大学学报(自然科学版),2004,44(12)：1610-1614.
[26]何基报,鲁直.中国证券投资者买卖决策的实证研究[J].复旦大学学报(自然科学版),2006,45(5)：585-593.
[27]祁斌,高峰,陈卓思.机构投资者与市场有效性[J].金融研究,2006,309(3)：76-84.
[28]徐捷,肖峻.证券投资基金动量交易行为的经验研究[J].金融研究,2006,313(7)：113-122.
[29]胡大春,金赛男.基金持股比例与A股市场收益波动率的实证分析[J].金融研究,2007,322(4)：129-142.
[30]陈卓思,高峰,祁斌.机构投资者交易行为特征研究[J].金融研究,2008,334(4)：122-130.
[31]李胜利.机构投资者股票投资行为与证券市场波动实证研究[J].经济纵横,2007,(2)：20-22.
[32]周学农,彭丹.机构投资者对中国股市波动性影响的实证研究[J].系统工程,2007,168(12)：58-62.
[33]周可峰.机构投资者行为对股票价格及其波动性影响的实证研究[D].2009,中南大学博士学位论文.
[34]Patro D K, Wu Y R. Predictability of short-horizon equity returns in international equity markets [J]. Journal of Empirical Finance,2004,11 (4):553-584.
[35]杨春鹏.非理性金融.科学出版社[M].2008,13-14.
[36]平湖,李菁.基金黑幕—关于基金行为的研究报告,财经,2010(10)
[37]Sias R W. Volatility and institutional investor [J]. Financial Analysis Journal,1996,2:13-20.
[38]Lee M C, Radhakrishna B. Inferring investor behavior:Evidence from TORQ data [J]. Journal of Financial Markets.2000,3 (2):83-111.
[39]Barber B M, Odean T, Zhu N. Systemetic Noise.AFA 2006 San Diego Meetings Available at SSRN:http://ssrn.com/abstract=474481.
[40]Barber B M, Odean T, Zhu N. Do retail trades market? [J]. Reviews of financial studies,2009,22 (1):151-186.
[41]李子奈.高等计量经济学[M].清华大学出版社,2003.
[42]张成思.金融计量学[M].东北财经大学出版社,2008.
[43]易丹辉.数据分析与Eviews应用[M].中国人民大学出版社,2006.
[44]伍德里奇.计量经济学导论—现代观点[M].中国人民大学出版社,2003.
[45]高铁梅.计量经济分析方法与建模Eviews应用及实例[M].清华大学出版社,2005.
[46]张晓峒.计量经济学基础[M].南开大学出版社,2001.
[47]王悦然.我国机构投资者行为与证券市场稳定性之间的关系研究[D].2010,华东师范大学硕士学位论文.