机构投资者与股票收益率关系的实证研究

论文摘要

机构投资者的投资行为与股票收益率之间的关系是金融市场研究尤其是实证金融领域中的一项重要课题,研究力图分析机构投资者行为的交易模式和市场影响,并为制定相关政策提供实证研究支持。本文通过对其现有国内研究的数据、方法、思路和研究结果等进行全面总结,克服了数据不完备和频度过低所带来的计量方法局限。并借助国外最新相关研究方法和思路,深入和完整的探讨了机构投资者与股票价格的相互关系。本文从四个方面来研究机构投资者与股票价格的相互关系。首先从机构持仓量出发,研究中国股票市场上机构投资者的行为和股票收益率的相互关系。在确认了这种正相关性之后,我们又从机构交易量出发,研究机构投资者的行为和股票收益率的相互关系。我们发现交易量和股票收益率的正相关性要强于持仓量和股票收益率的正相关性。接下来我们探讨了核心问题:到底是机构持仓量的变化引起了股票收益率的变化,还是股票收益率的变化影响了机构投资者的投资策略。对此我们采取了标准格兰杰检验,通过检验我们发现,总体上讲,是股票收益的变化导致了机构持仓量的变化。反之则不成立。最后我们研究了模拟组合建仓前后一年的时间内交易量和收益率的变化。从而了解了机构交易量的变化强度。最后在总结全文的基础上,我们提出了两个理论上的解释,一个是羊群效应理论,另一个则是股票价格反应不足理论,使得本文结论的理论依据更加充足。

论文目录

• ABSTRACT
• 摘要
• Introduction
• 1. Background
• 1.1 Introduction to Chinese Stock Market
• 1.2 Background of Institutional Investors
• 1.2.1 Definition of Institutional Investors
• 1.2.2 Development and Current Situation of Institutional Investors
• 1.3 Significance of Thesis
• 2. Literature Review
• 2.1 The Correlation of Institutional Investors’ Holding and Stock Returns
• 2.2 The Impact of Institutional Investors’ Behaviors on Stock Returns
• 2.3 The Effect of Stock Returns on Institutional Investors’ Behaviors – Research on Feedback Trading Strategies
• 3. Data and Research Approaches
• 3.1 Data Source
• 3.2 Variable Selection
• 3.3 Research Approaches
• 4. Institutional Investors’ Holding and Stock Returns
• 4.1 Issues to Be Solved in This Section
• 4.2 Model Construction: Fama-French Three-Factor Model and Parameters Estimation
• 4.2.1 Reasons for Choosing This Model
• 4.2.2 The Calculation of Three Factors in Fama – French Model
• 4.3 Statistical Results
• 4.4 Statistical and Practical Interpretation
• 5. Institutional Investors’ Trading and Stock Returns
• 5.1 Issues to Be Solved in This Section
• 5.2 Model Construction
• 5.3 Statistical Results
• 5.4 Statistical and Practical Interpretation
• 6. Granger Causality Test on Relationship between Institutional Trading and Portfolios’ Returns
• 6.1 Problem to Be Solved in This Section
• 6.2 Model Construction and Data Processing
• 6.2.1 The Basic Principle of Granger Causality
• 6.2.2 Model Used in this Section and Data Processing
• 6.3 Statistical Results
• 6.4 Statistical and Practical Interpretation
• 6.4.1 Interpretation of Table 7
• 6.4.2 Interpretation of Table 8
• 7. Trading Patterns Before and After Institutional Trading Portfolio Formation Period
• 7.1 Problem to Be Solved in This Section
• 7.2 Trading Patterns Before and After Portfolio Formation Period
• 7.3 Returns Before and After Portfolio Formation Period
• 8. Conclusions, Summary and Interpretation
• 8.1 Summary of Conclusions
• 8.2 Interpretation for Conclusions
• Bibliography
• Appendix
• 致谢