[1]胡才泓,曾剑锋.机构投资者的趋同交易行为与股价同步性[J].江西师范大学学报(自然科学版),2015,(05):545-550.
 HU Caihong,ZENG Jianfeng.The Convergent Trading Behavior of Institutional Investors and Stock Return Synchronicity[J].,2015,(05):545-550.
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机构投资者的趋同交易行为与股价同步性()
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《江西师范大学学报》(自然科学版)[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2015年05期
页码:
545-550
栏目:
出版日期:
2015-10-01

文章信息/Info

Title:
The Convergent Trading Behavior of Institutional Investors and Stock Return Synchronicity
作者:
胡才泓;曾剑锋
江西师范大学财政金融学院,江西南昌,330022;江西师范大学学报杂志社,江西南昌,330027
Author(s):
HU Caihong;ZENG Jianfeng
关键词:
机构投资者趋同交易行为股价同步性
Keywords:
institutional investorsconvergent trading behaviorstock return synchronicity
分类号:
F830.91
文献标志码:
A
摘要:
利用2010—2012年A股市场的面板数据,从机构投资者交易行为趋同的视角,分析了机构投资者趋同交易行为对股价同步性的影响以及机构投资者持股在其间所起的作用。研究发现:机构投资者的趋同交易行为与股价同步性之间存在非线性的“倒U型”关系;且2者之间的正向关系随着机构投资者持股比例的提高而减弱。结论表明,机构投资者既有降低股价同步性的一面,同时又有提高股价同步性的另一面,这一发现对客观认识机构投资者对股价同步性影响提供了新的视角和经验证据。
Abstract:
From the convergent perspectives of the trading behavior of institutional investors,this study uses the pan-el data of A-shares capital market of 2010~2012 to investigate the effects of the convergent trading behavior of in-stitutional investors on stock price synchronicity and the influence of institutional holdings on the relationship be-tween them. Result shows that there is a reverse-U pattern relation between the convergent trading behavior of insti-tutional investors and stock price synchronicity and that this positive correlation between them decreases with the ra-tio of institutional holdings.

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相似文献/References:

[1]梅国平,胡才泓.基于CCK扩展模型的机构投资者羊群行为研究[J].江西师范大学学报(自然科学版),2014,(03):221.
 MEI Guo-ping,HU Cai-hong.The Research of Herding by Institutional Investors Based on Extended Model of CCK[J].,2014,(05):221.

备注/Memo

备注/Memo:
国家自然科学基金(71063006);国家社会科学基金(15BGL050)
更新日期/Last Update: 1900-01-01