机构投资者与股市泡沫的形成

中国管理科学 ›› 2012, Vol. ›› Issue (4): 18-26.

机构投资者与股市泡沫的形成

徐浩峰¹, 朱松²

1. 中山大学管理学院, 广东广州 510275;
2. 北京师范大学经济与工商管理学院, 北京 100084

收稿日期:2011-03-14 修回日期:2011-12-28 出版日期:2012-08-29 发布日期:2012-08-29
基金资助:
国家自然科学基金面上项目 (71072089);广东省自然科学基金(10451027501004606);广东省软科学(2011B070300122);上海证券交易所联合研究计划资助

Does the Trade from Institutional Investors Induce Stock Bubble

XU Hao-feng¹, ZHU Song²

1. Business School, Sun Yat-Sen University, Guangzhou 510275, China;
2. School of Economics and Business Administration, Beijing Normal University, Beijing 100875, China

Received:2011-03-14 Revised:2011-12-28 Online:2012-08-29 Published:2012-08-29

摘要/Abstract

摘要： 机构投资者"高换手率"现象引发许多争议。本文测算证券价格泡沫与检验机构投资者的微结构交易数据后发现,机构投资者的交易导致证券价格泡沫,放大了内在价值信息的反应,导致市盈率因为机构投资者的交易而高估。进一步研究证券收益的序列相关性发现,机构投资者的交易造成的价格变动符合Campbell,Grossman和Wang(1993)^[1]模型的噪音过程,即机构投资者的交易所造成的证券价格变动和证券内在价值变动无关,具体表现在证券价格短期上涨与后续期间证券价格的反转,股价呈序列负相关性。本文的研究发现证明,机构投资者的交易风格具有"投机"特征,导致了证券价格偏离内在价值,引发股市泡沫。

关键词: 机构投资者, 证券泡沫, 交易微结构

Abstract: In this paper, the microstructure trading behavior of institutional investors is verified and the phenomenon that institutional investors induce speculative bubble and amplify the effect of earnings announcement on stock price is found. The findings provide evidence to the trading style of institutional investors.

Key words: institutional traders, stock price bubble, market microstructure

中图分类号:

F830

徐浩峰, 朱松. 机构投资者与股市泡沫的形成[J]. 中国管理科学, 2012, (4): 18-26.

XU Hao-feng, ZHU Song. Does the Trade from Institutional Investors Induce Stock Bubble[J]. Chinese Journal of Management Science, 2012, (4): 18-26.

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