【作者】 刘骏江；

【导师】 李莉莉；

【作者基本信息】 青岛大学 ， 金融学， 2011， 硕士

【摘要】 在金融全球化的背景下,随着技术的创新和投资理念的深入,全球金融市场结构发生了根本性的改变,为促进证券市场的健康发展,我国大力发展机构投资者,丰富证券市场参与主体。本文介绍了我国机构投资者发展现状,从理论角度描述了机构投资者行为和股票收益率与波动率之间的相互关系：机构投资者具有相对理性,能够提高股票市场的有效性,机构投资者的短视行为亦能引起股票市场的无序波动,股票收益率能够影响机构投资者的决策行为。利用机构投资者高频分笔数据,构建了机构买比和机构卖比作为机构投资者行为指标,采用结构向量自回归模型和面板数据模型分别从市场角度和个股角度分析机构投资者买卖行为与股票收益率与波动率之间的关系,研究结果表明：机构投资者买卖行为与股价之间存在相互影响关系,机构投资者买入和卖出对股票收益率分别存在正向和负向影响,对股票波动率存在正向影响,机构投资者买入行为对股票波动率影响更加显著,机构投资者行为能够加剧股票市场波动；股票收益率对机构买入和卖出分别存在的正向和负向影响,股票收益率对机构投资者行为冲击的持续时间较长,机构投资者采取正反馈交易策略,股票波动率对机构投资者行为影响并不明显。为促进我国证券市场的健康、平稳发展,我国大力发展机构投资者数量和规模有其必要性和可行性,但必须有配套的政策法规作支撑,丰富机构投资者参与主体也显得尤为重要。更多还原

【Abstract】 The structure of the global financial markets has undergone a fundamental change along with the innovation of the investment technology and the deepening of the investment concept in the context of financial globalization. Our country strive to develop institutional investors and enrich the securities markets’participants in order to promote the healthy development of securities markets.This essay describes the development status of institutional investors in China. It analyzes the relationship between the institutional investors’behavior and the returns and volatility of stocks from the theoretical angle:on the one hand, institutional investors who are relatively rational, prefer less volatile stocks and use the portfolio diversification strategy, which means institutional investors can enhance the validity of stock market; on the other hand, stock returns can affect institutional investors’ behavior, short-sighted behavior of institutional investors can exacerbate the volatility of market. The paper constructs institutions buy and sell indicator index as institutional investor indicator, uses institutional investors high-frequency sub-pen data, and uses structural VAR model and panel data models to analyze the correlation between trading behavior of institutional investors and the returns and volatility of stocks. The results of the study show that:there are multiple influences between the trading behavior of institutional investors and stock prices. On the one hand, institutional investors’ buying and selling have a positive and negative impact on the stock returns respectively. They have positive effects on the stock price volatility and institutional buying’s effect is more significant. Institutional investors’behavior can destabilize the stock market. On the other hand, stock returns have a positive and negative impact on the institutional investors’buying and selling respectively. The influence of stock returns lasts long on the institutions’trading behavior. Institutional investors take positive feedback trading strategy, and stock price volatility’s influence on investor behavior is not obvious. To guard the healthy and stable development of security market in China, it is necessary and feasible to increase institutional investors’number and enlarge their scale, and it should be supported by complementary policies and regulations. Besides, to enrich the institutional investors’participant is also especially important.更多还原