[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].Journal of Jiangxi Normal University:Natural Science Edition,2015,(05):545-550.
点击复制

机构投资者的趋同交易行为与股价同步性()
分享到：

《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 investors; convergent trading behavior; stock 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.

参考文献/References:

[1] Morck R,Yeung B,Yu Wayne.The information content of stock market:Why do emerging markets have synchronous stock price movements [J].Journal of Financial Economics,2000,58(1):215-260.
[2] 许年行,洪涛,徐信忠,等.信息传递模式、投资者心理偏差与股价“同涨同跌”现象 [J].经济研究,2011(4):135-146.
[3] West K.Dividend innovation and stock price volatility [J].Econometrica,1988,56(1):37-61.
[4] Jin Li,Myers S C.Raround the world:New theory and new tests [J].Journal of Financial Economics,2006(79):257-292.
[5] 蔡庆丰,宋友勇.超常规发展的机构投资者能稳定市场吗:对我国基金跨越式发展的反思 [J].经济研究,2010(1):90-101.
[6] Hsina C W,Tseng P W.Stock price synchronicities and speculative trading in emerging markets [J].Journal of Multinational Financial Management,2012,22(3):82-109.
[7] An Heng,Zhang Ting.Stock price synchronicity,crash risk and institutional investors [J].Journal of Corporate Finance,2013,21(6):1-15.
[8] 饶育蕾,许军林,梅立兴,等.QFII持股对我国股市股价同步性的影响研究 [J].管理工程学报,2013(2):202-208.
[9] 肖欣荣,刘健,赵海健.机构投资者行为的传染:基于投资者的网络视角 [J].管理世界,2012(12):35-45.
[10] Brennan M J.The individual investor [J].Journal of Financial Research,1995(18):59-74.
[11] Bartov E,Radhakrishnan S,Krinshy I.Investor sophistication and patterns in stock returns after earning announcements [J].The Accounting Review,2000(75):43-63.
[12] 王亚平,刘慧龙,吴联生.信息透明度、机构投资者与股价同步性 [J].金融研究,2009(12):162-174.
[13] 金鑫,雷光勇,王文.国际化经营、机构投资者与股价同步性 [J].科学决策,2011(8):1-21.
[14] 游家兴,汪立琴.资者、公司特质信息与股价波动同步性:基于R的研究视角 [J].南方经济,2012(11):89-101.
[15] He Wen,Li Donghui,Shen Jianfeng,et al.Large foreign ownership and stock price informativeness around the world [J].Journal of International Money and Finance,2013,36(9):211-230.
[16] Gul F A,Kim J B,Qiu A.Ownership concentration,foreign shareholding,audit quality and stock price synchronicity:Evidence from China [J].Journal of Financial Economics,2010,95(3):425-442.
[17] Li Wei,Wang Shuye.Daily institutional trades and stock price volatility in a retail investor dominated emerging market [J].Journal of Financial Markets,2010(13):448-474.
[18] 胡才泓.机构投资者的彩票类股票交易行为与股价同步性 [J].金融教育研究,2015,28(1):14-19.
[19] 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,2014,38(3):221-225.
[20] 何诚颖.中国股市“板块现象”分析 [J].经济研究,2001(12):82-87.
[21] 李贺,张玉林.基于行业板块的投资组合方法研究 [J].电子科技大学学报:社科版,2013,15(3):42-49.
[22] Kumar A,Page J K,Spalt O G.Religious beliefs,gambling attitudes,and financial market outcomes [J].Journal of Financial Economics,2011,102(3):671-708.
[23] Durnev A,Morck R,Yeung B,Zarowin P.Does greater firm-specific return variation mean more or less informed stock pricing? [J].Journal of Accounting Research,2003,41(5):797-836.
[24] 李增泉.所有权结构与股票价格的同步性:来自中国股票市场的数据 [J].中国会记与财务研究,2005,7(3):57-100.
[25] 尹雷.机构投资者持股与股价同步性分析 [J].证券市场导报,2010(3):72-77.

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].Journal of Jiangxi Normal University:Natural Science Edition,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