基于高频数据的机构持股与股价信息效率关系研究

发布时间：2018-06-29 05:56

本文选题：分笔高频数据 + 机构持股　；参考：《中国科学技术大学》2017年硕士论文

【摘要】：近些年来,机构投资者快速发展,已经成为金融市场中的重要力量。相比于个人投资者,机构投资者具有更多的信息来源渠道和更强的信息处理能力,被监管层寄予改善金融市场信息质量的厚望。然而,机构投资者是否能起到稳定市场、提高市场信息效率作用?对于这一问题一直没有定论。本文利用上海证券交易所A股所有个股的分笔高频交易数据,基于Hasbrouck价格分解的思想计算了个股在每个交易日的股价信息效率,并在此基础上分析了机构持股比例对股价信息效率的影响。研究结果表明,总体而言,机构持股比例对股价信息效率具有显著的负向影响,机构持股比例越高,导致股价信息效率越低。并且,这一结论在采用不同的股价信息效率指标和不同的流动性指标,以及将样本限定为上证180指数的样本股的情况下均保持不变。但是,更细致的分析发现,对于流动性最好的那部分股票,机构持股比例和股价信息效率具有显著的正相关关系,这一结果揭示了流动性所扮演的重要角色。格兰杰因果.检验的结果显示,机构持股比例是股价信息效率的格兰杰原因,但反之并不成立;并且,流动性和机构持股比例之间互为格兰杰原因。这一结果说明机构持股比例可以直接影响股价信息效率,而流动性则可以通过影响机构持股比例来间接影响股价信息效率。此外,本文还将所有样本分为了牛市、熊市两部分分别进行实证分析,结果显示,牛市、熊市两种不同市场背景下的结论与前述结论保持一致。本文的研究结论表明,机构持股比例的提高,并没有提高金融市场的信息有效性。在大力发展机构投资者的同时,加强对机构投资者的监管和引导至关重要。流动性对股价信息效率具有正向影响,并会影响机构持股和股价信息效率之间的关系,应该致力于提高金融市场的流动性。
[Abstract]:In recent years, the rapid development of institutional investors has become an important force in the financial market. Compared with individual investors, institutional investors have more sources of information and stronger ability of information processing, so regulators place great hopes on improving the quality of information in financial markets. However, can institutional investors stabilize the market and improve the efficiency of market information? There has been no conclusion on this issue. Based on the high-frequency trading data of all A-shares in Shanghai Stock Exchange, this paper calculates the information efficiency of individual shares in each trading day on the basis of Hasbrouck's idea of price decomposition. On this basis, the paper analyzes the effect of institutional shareholding ratio on stock price information efficiency. The results show that, overall, institutional shareholding ratio has a significant negative impact on stock price information efficiency, the higher the institutional shareholding ratio, the lower the stock price information efficiency. Moreover, this conclusion remains unchanged when different stock price information efficiency index and different liquidity index are adopted, and the sample is limited to the sample stock of Shanghai 180 index. However, a more detailed analysis shows that there is a significant positive correlation between institutional shareholding ratio and stock price information efficiency for the most liquid stocks, which reveals the important role of liquidity. Granger cause and effect. The test results show that institutional shareholding ratio is the Granger reason of stock price information efficiency, but the reverse is not true; moreover, liquidity and institutional shareholding ratio are mutual Granger reasons. The results show that institutional shareholding ratio can directly affect the information efficiency of stock price, while liquidity can indirectly affect the information efficiency of stock price by influencing institutional shareholding ratio. In addition, all the samples are divided into bull market and bear market respectively. The results show that the conclusions of bull market and bear market are consistent with the previous conclusions. The conclusion of this paper shows that the increase of institutional shareholding does not improve the information efficiency of financial market. While vigorously developing institutional investors, it is essential to strengthen the supervision and guidance of institutional investors. Liquidity has a positive effect on the information efficiency of stock price, and will affect the relationship between institutional shareholding and information efficiency of stock price. Therefore, we should focus on improving the liquidity of financial market.
【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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