CAJ | 학술논문

运用事件研究法，选取2014年中报不同类型机构投资者大幅增减仓幅度、股票的超额收益率、同方向操作的机构数量等作为被研究变量，通过Stata12、Excel软件分析机构大幅增减仓在中短期内对股票价格的影响。研究发现，不同机构大幅增减仓对股价的影响有较大差异，机构大幅增仓比大幅减仓对股票的正面影响明显更大，但减仓的股票整体上也存在超额收益率；机构投资者增减仓幅度与股票超额收益率正相关，机构同买同卖的行为存在一定程度的“羊群效应”。因此，国家需进一步鼓励机构投资者的发展，引入更多的QFII，促进保险、券商、信托与基金发行差异化理财产品，机构应当理性投资，挖掘优质股票，避免羊群行为以减少对股票价格的冲击。
운용사건연구법，선취2014년중보불동류형궤구투자자대폭증감창폭도、고표적초액수익솔、동방향조작적궤구수량등작위피연구변량，통과Stata12、Excel연건분석궤구대폭증감창재중단기내대고표개격적영향。연구발현，불동궤구대폭증감창대고개적영향유교대차이，궤구대폭증창비대폭감창대고표적정면영향명현경대，단감창적고표정체상야존재초액수익솔；궤구투자자증감창폭도여고표초액수익솔정상관，궤구동매동매적행위존재일정정도적“양군효응”。인차，국가수진일보고려궤구투자자적발전，인입경다적QFII，촉진보험、권상、신탁여기금발행차이화리재산품，궤구응당이성투자，알굴우질고표，피면양군행위이감소대고표개격적충격。
Using event study , this paper takes substantial margin trading of different types of institutions , excess stock returns and number of institutional investors in 2014 interim report as several variables. This paper studies a substantial institutional investors trading in the short to medium term impact on the stock price by Stata12 , Excel software for statistics, multivariate regression analysis. The study found a large number of transactions of different institutional investors have a greater impact on the stock price differences , institutional buying of the stock has a greater positive impact , but the stocks sold also have excess returns; trading margin and excess stock returns positive correlation; there is a certain degree of “herding” among institutional investors. Countries need to further encourage the development of institutional investors and introduce more QFII , promoting insurance , brokerage , trust and fund continued to increase circulation differentiated financial products; institutional investors should be rational investment , mining quality stocks , avoid herd behavior in order to reduce the impact on stock prices.