机构投资者、流动性与信息效率研究

发布时间：2018-03-11 11:32

本文选题：机构投资者　切入点：流动性　出处：《华中科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文利用CCER数据库以及Wind数据库，选取2003年至2009年间沪深A股一般上市公司为研究样本，通过实证分析，依次考察了机构持股、流动性以及二者的交互项对信息效率的影响。针对信息效率，文中分别从三个不同的维度来加以衡量：第一，在随机游走的假设下，利用个股复权价构建方差比指标，机构持股比例较高的股票其股价更贴近于其基本价值，因而更接近于随机游走，表明信息能以更快的速度反映在股价变动之中；第二，构建同步性指标，股价波动同步性与公司特质信息含量紧密相关，较高的同步性水平意味着公司特质信息较少被纳入到股票价格之中，使得公司之间的个性化差异越小，也就意味着较低的信息效率；第三，投资者既可以出于分散风险的目的进行交易，也可以基于私有信息进行投机交易，通过构建私有信息测度指标，来考察个股交易中基于私有信息交易的程度。信息效率的提高有助于投资者做出更优的投融资决策，因此本研究对于实体经济也有着重要的意义。研究发现，基于三种不同的信息效率测度方式，机构持股比例的增加以及流动性水平的提高均会促进信息效率。进一步地，在回归模型中引入交叉项，交叉项的系数向我们展示了在中国证券市场上所存在的一个有趣的现象：随着流动性的增加，机构投资者的参与对股票价格信息效率的边际影响反而减弱了。这可能是因为机构投资者利用私有信息增加持股比例的信息被更多的投资者加以利用，，从而导致一些非理性的交易行为，使得股价所承载的私有信息减少，从而减弱了信息效率。
[Abstract]:By using CCER database and Wind database, this paper selects Shanghai and Shenzhen A-share listed companies as the research samples from 2003 to 2009. Through empirical analysis, this paper investigates the influence of institutional shareholding, liquidity and their interaction on information efficiency in turn. According to the information efficiency, this paper measures it from three different dimensions: first, under the assumption of random walk, we construct the variance ratio index by using the return weight price of individual stock. The share price of the stock with higher institutional shareholding ratio is closer to its basic value and thus closer to the random walk, indicating that the information can be reflected in the stock price changes at a faster rate. The synchronization of stock price fluctuation is closely related to the information content of the company's characteristics. The higher the level of synchronism means that the company's characteristic information is less included in the stock price, which makes the individual difference between companies smaller. This means low information efficiency. Third, investors can trade for the purpose of dispersing risks or speculating based on private information. The improvement of information efficiency is helpful for investors to make better investment and financing decisions, so this study is also of great significance to the real economy. It is found that based on three different measurement methods of information efficiency, the increase of institutional shareholding ratio and the increase of liquidity level will promote the information efficiency. Further, the cross term is introduced into the regression model. The cross-term coefficient shows us an interesting phenomenon in China's securities market: as liquidity increases, The marginal impact of institutional investor participation on the efficiency of stock price information may be reduced by the fact that institutional investors' use of private information to increase their shareholding ratio is used by more investors. As a result, some irrational trading behaviors reduce the private information carried by the stock price and weaken the information efficiency.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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