机构投资者对中国股票市场流动性影响实证分析

发布时间：2018-01-09 15:10

本文关键词：机构投资者对中国股票市场流动性影响实证分析　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文主要探究的是机构投资者对中国股票市场流动性的影响。机构投资者被引入资本市场担负着两个重要的使命：一是稳定资本市场；二是强化公司治理,而今它已成为市场的主导力量,对促进我国资本市场健康稳定发展、完善我国金融体系和实现国民经济长远发展具有十分深远的意义。本文首先对沪深两市流动性特征进行了基本描述,对机构投资者市场参与情况进行了系统回顾,并利用上海A股市场2006年-2011年数据对机构投资者与股票市场流动性的关系进行实证研究。我们发现：第一,机构投资者比例的增加会减小不同市值股票的特异性,并降低市场系统流动性,有利于稳定整个股票市场。第二,机构投资者持股比例的上升会降低股票交易的活跃程度,股票市场深度还有待加强。第三,股票的流动性会同时受到机构投资者持股造成的逆向选择与信息效率两种影响,导致两者呈现非线性关系。我们证实了上海A股市场的流动性是受交易行为带来的真实摩擦和机构控股带来的信息摩擦这两个因素共同影响,并进而提出了改善中国股市流动性以及规范机构投资者行为的政策建议。
[Abstract]:This paper mainly explores the influence of institutional investors on the liquidity of China's stock market. Institutional investors are introduced into the capital market with two important missions: first, to stabilize the capital market; Second, strengthen corporate governance, now it has become the dominant force of the market, to promote the healthy and stable development of our capital market. It is of great significance to perfect our financial system and realize the long-term development of national economy. Firstly, this paper describes the liquidity characteristics of Shanghai and Shenzhen stock markets. The market participation of institutional investors is reviewed systematically. Using the data of Shanghai A-share market from 2006 to 2011, the paper makes an empirical study on the relationship between institutional investors and the liquidity of the stock market. The increase in the proportion of institutional investors will reduce the specificity of different market value stocks, and reduce the liquidity of the market system, which is conducive to the stability of the entire stock market. Second. The increase in the proportion of institutional investors will reduce the activity of stock trading, the depth of the stock market needs to be strengthened. Third. The liquidity of stocks will be affected by the adverse selection and information efficiency caused by institutional investors' shareholding at the same time. We confirm that the liquidity of Shanghai A-share market is affected by the real friction caused by transaction behavior and the information friction caused by institutional holding. And then put forward some policy suggestions to improve the liquidity of Chinese stock market and regulate the behavior of institutional investors.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F224

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