机构投资者、信息透明度与股价崩盘风险

发布时间：2018-06-25 09:45

本文选题：股价崩盘风险 + 机构投资者　；参考：《经济体制改革》2017年05期

【摘要】：本文以2005~2014年我国沪深两市所有A股上市公司和机构投资者的持股比率为初始研究样本,研究机构投资者持股比率对单个公司股价崩盘风险的影响,并进一步考察信息透明度对两者关系的影响。从增量效应和水平效应的角度解释机构投资者对股价崩盘风险的影响和利用信息透明度的高低,考察信息透明度的高低对两者关系的影响。主要结论为:机构投资者持股比例与股价崩盘风险呈现正相关关系,即机构投资者持股比例越高,股价崩盘风险越高;信息透明度较低时,机构投资者与股价崩盘风险之间的正相关关系较显著。
[Abstract]:In this paper, the stock holding ratio of all A-share listed companies and institutional investors in Shanghai and Shenzhen stock markets from 2005 to 2014 is taken as the initial research sample to study the impact of institutional investor shareholding ratio on the risk of a single company's stock price collapse. And further investigate the influence of information transparency on the relationship between the two. This paper explains the influence of institutional investors on the risk of stock price collapse and the level of information transparency from the perspective of incremental effect and horizontal effect, and examines the influence of information transparency on the relationship between the two. The main conclusions are as follows: there is a positive correlation between the proportion of institutional investors holding shares and the risk of stock price collapse, that is, the higher the proportion of institutional investors holding shares, the higher the risk of stock price collapse; when the information transparency is low, The positive correlation between institutional investors and the risk of share price collapse is significant.
【作者单位】：西安交通大学经济与金融学院;
【基金】：国家自然科学基金面上项目“基于样本外追踪效果的股票市场指数优化复制问题研究”(71171158) 教育部哲学社会科学研究重大课题攻关项目“新常态下中国经济运行机制的变革与中国宏观调控模式重构研究”(15JZD012)
【分类号】：F832.51

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