CAJ | 학술논문

机构投资者是证券市场的重要参与者，由于其交易资金的庞大，往往会对证券市场的交易价格产生显著的影响。本文借鉴Chen和Hong（2006）事件研究的方法，使用上海证券交易所发布的日度机构持仓数据，对机构投资者在投资评级发布日的行为进行了分析。发现在我国机构投资者的投资存在着以正反馈交易为代表羊群效应特征，并且在短期交易还有一定的惯性特征。
궤구투자자시증권시장적중요삼여자，유우기교역자금적방대，왕왕회대증권시장적교역개격산생현저적영향。본문차감Chen화Hong（2006）사건연구적방법，사용상해증권교역소발포적일도궤구지창수거，대궤구투자자재투자평급발포일적행위진행료분석。발현재아국궤구투자자적투자존재착이정반궤교역위대표양군효응특정，병차재단기교역환유일정적관성특정。
As the key participants of the securities market, institutional investors tend to affect the stock price significantly owing to their huge amount of trading. Using event study method in Chen ＆ Hang （2006） for reference, the authors apply daily data of institutional holdings from the Shanghai Stock Exchange to analyze institutional investors＇ behavior around analysts＇ stock recommendations release events. The paper finds that there is a positive feedback trading, showing herding behavior between institutional investors, and also the short-time trading exhibits a characteristic of momentum investing.