CAJ | 학술논문

本文将股票按照机构投资者持股比例高低分为不同子集，分别研究惯性和反转现象的发生情况。本文发现，不同投资者群体主导的股票子集表现出来截然不同的特征，机构投资者持股比例比较低的股票存在着比较明显的反转现象，而机构投资者持股比例比较高的股票存在着比较明显的惯性现象，两者从不同角度说明了中国股票市场有效性较低。进一步的研究检验了高机构持股的股票在不同的“持有期”延迟后的收益率表现，排除了高机构持股的股票的惯性现象是由市场炒作产生的可能性。本文提出个人投资者的反应过度倾向以及机构投资者的反应不足倾向可能是上述现象的原因。
본문장고표안조궤구투자자지고비례고저분위불동자집，분별연구관성화반전현상적발생정황。본문발현，불동투자자군체주도적고표자집표현출래절연불동적특정，궤구투자자지고비례비교저적고표존재착비교명현적반전현상，이궤구투자자지고비례비교고적고표존재착비교명현적관성현상，량자종불동각도설명료중국고표시장유효성교저。진일보적연구검험료고궤구지고적고표재불동적“지유기”연지후적수익솔표현，배제료고궤구지고적고표적관성현상시유시장초작산생적가능성。본문제출개인투자자적반응과도경향이급궤구투자자적반응불족경향가능시상술현상적원인。
This paper examines the performance of two groups of stocks： the group of stocks with higher institutional investor holding and the one with lower holding. Studies show that the returns of these two groups of stocks demonstrate different patterns. The returns of the groups show the characteristics of ＇ reversal＇ with lower institutional investor holding and the ＇momentum＇ with higher institutional investor holding respectively. Further studies examine the ＂momentum＂ characteristics of high institutional holding with different lagging periods, and exclude the pessibility of manipulation. This paper points out that the reversal and momentum patterns are due to the over- reaction of individual investors and under- reaction of institutional investors.