机构投资者对股价同步性影响的研究

发布时间：2018-01-05 19:30

本文关键词：机构投资者对股价同步性影响的研究　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：股价波动的同步性（synchronicity)即我国所说的“同涨同跌”现象，指的是某一时间内市场上大多数股票的价格同时上涨或下跌的情况。这一现象的出现表明市场对公司股票的定价更多是依据市场整体环境，而不是依据公司的特质信息（firm-specific Information)。但股价波动的不同步并不必然意味着市场运行良好，也可能是市场参与者的噪音交易。股价同步性到底意味着什么，取决于市场参与者一一尤其是占据专业知识技能与资金优势的机构投资者一一影响股价同步性的方式：如果市场参与者能较好的挖掘公司特质信息，则股价波动的不同步意味着市场运行状态良好。反之，则市场运行状态较差。为研究机构投资者对股价同步性的影响方式，本文以2007年一2011年我国中小板上市公司为研究对象，首先研究机构投资者是否对股价同步性产生影响，其次通过盈余管理方程计算出公司特质信息的代理变量，，最后研究机构投资者能否挖掘公司特质信息。通过这三个步骤检验机构投资者影响股价同步性的方式：是通过挖掘公司特质信息，还是增加市场噪音。通过实证，本文发现，我国中小市场机构投资者并不能很好的挖掘公司特质信息，机构投资者降低股价同步性更多在于其无理性的交易所导致的市场噪音。
[Abstract]:The synchronization of stock price volatility (synchronicity) that China said "up or down" phenomenon, which means that most stock within a certain time on the market price at the same time, up or down. This phenomenon shows that the market price of the company's stock is more on the basis of the overall market environment, rather than on the basis of the company's quality of information (firm-specific Information). But the fluctuation of stock price is not synchronized does not necessarily mean that the market is running well, may also be the market participants in the noise trade. The synchronization of stock price in the end what it means, depending on the market participants -- especially occupy the professional knowledge and skills and capital advantage of institutional investors to influence the stock price synchronicity way: if the information mining company characteristics of market participants can better, share price volatility is not synchronous means that the market is running in good condition. On the other hand, the market operation The state is poor.
As the impact of institutional investors on stock price synchronicity, in 2007 2011, China's SME board listed companies as the research object, firstly to study whether institutional investors have an impact on the stock price synchronicity, followed by earnings management equation to calculate the proxy variable of firm specific information, the research on institutional investors can through mining company specific information. The three step tests of institutional investors influence the stock price synchronicity: through mining firm specific information, or increase market noise. Through the empirical study, this paper found that the mining company characteristics information of small and medium-sized market institutional investors in our country is not very good, institutional investors to reduce the stock price synchronicity is no more rational to exchange market noise.

【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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