经济研究
經濟研究
경제연구
Economic Research Journal
2014年
12期
100~112
,共null页
机构投资者 波动性 倾向得分匹配
機構投資者 波動性 傾嚮得分匹配
궤구투자자 파동성 경향득분필배
Institutional Investors; Volatility; Propensity Score Matching
机构投资者能否起到稳定市场的作用一直是管理层和学术界讨论的焦点。考虑到机构投资者的择股偏好与股票波动之间存在的内生性问题，本文运用倾向得分匹配模型（PSM），筛选出与机构重仓股“相仿”的未被机构重仓持有的股票，从微观层面检验了我国以证券投资基金为代表的机构投资者对市场波动性的影响。研究发现：（1）机构投资者偏好财务优良、治理有效的公司，而此类公司的股票往往呈现出更低的波动性。（2）在市场上升阶段，机构投资者提高了股票的波动性；而在市场下降阶段，机构投资者虽然起到了降低股票波动的作用，却未能阻止股价继续下行。（3）机构投资者的买入行为与股票的期内收益存在很强的正向关系，而在滞后期中机构重仓股并未显现出更高的收益率，这意味着对于个体投资者而言，通过追踪基金公布的季度持仓数据来选择股票已经错过了最佳买入时期。
機構投資者能否起到穩定市場的作用一直是管理層和學術界討論的焦點。攷慮到機構投資者的擇股偏好與股票波動之間存在的內生性問題，本文運用傾嚮得分匹配模型（PSM），篩選齣與機構重倉股“相倣”的未被機構重倉持有的股票，從微觀層麵檢驗瞭我國以證券投資基金為代錶的機構投資者對市場波動性的影響。研究髮現：（1）機構投資者偏好財務優良、治理有效的公司，而此類公司的股票往往呈現齣更低的波動性。（2）在市場上升階段，機構投資者提高瞭股票的波動性；而在市場下降階段，機構投資者雖然起到瞭降低股票波動的作用，卻未能阻止股價繼續下行。（3）機構投資者的買入行為與股票的期內收益存在很彊的正嚮關繫，而在滯後期中機構重倉股併未顯現齣更高的收益率，這意味著對于箇體投資者而言，通過追蹤基金公佈的季度持倉數據來選擇股票已經錯過瞭最佳買入時期。
궤구투자자능부기도은정시장적작용일직시관리층화학술계토론적초점。고필도궤구투자자적택고편호여고표파동지간존재적내생성문제，본문운용경향득분필배모형（PSM），사선출여궤구중창고“상방”적미피궤구중창지유적고표，종미관층면검험료아국이증권투자기금위대표적궤구투자자대시장파동성적영향。연구발현：（1）궤구투자자편호재무우량、치리유효적공사，이차류공사적고표왕왕정현출경저적파동성。（2）재시장상승계단，궤구투자자제고료고표적파동성；이재시장하강계단，궤구투자자수연기도료강저고표파동적작용，각미능조지고개계속하행。（3）궤구투자자적매입행위여고표적기내수익존재흔강적정향관계，이재체후기중궤구중창고병미현현출경고적수익솔，저의미착대우개체투자자이언，통과추종기금공포적계도지창수거래선택고표이경착과료최가매입시기。
Whether Institutional investors play a positive role in stabilizing the market has always been a hot problem within the academic and business. Taking into account of the endogenous problem between the stock selection preferences of institutional investors and stock volatility, this paper uses propensity score matching methods to pick out stocks with lower institutional ownership but very ＂similar＂ to the stocks which with higher institutional ownership and examines the impact of China＇s institutional investors on the market volatility from the micro perspective. The analysis finds that： （ 1 ） institutional investors prefer investing companies with good financial conditions and effective corporate governance, and such company stocks tend to exhibit lower volatility. （2） During the rising phase of the market, institutional investors increased the volatility of the stock, while during the decline stage, although institutional investors reduced stock volatility, failed to stop the stocks price going downward. （3） Furthermore, there is a strong positive relationship between institutional investors＇ buying behavior and stock gains in the corresponding period. But stocks with higher institutional ownership showed no higher rate of return in the lag period, which seems to imply that the individual investors who want to follow the institutions＇ trading may have missed the best buying time.
