基于季度时间窗的机构投资者行为效应研究

机构投资者已成为资本市场的主导力量,对证券市场的影响越来越大。选取我国A股上市公司的数据为样本,通过构建季度时间窗下机构投资者行为效应的回归模型,研究机构投资者持股变动与不同期超额回报的关系,并分析机构行为对不同期超额回报率影响的强度。研究发现,机构投资者持股变动对当期与滞后期超额回报都有显著的影响,这种影响不具有持续性,且当期较后一期影响较弱,后一期市场对机构行为存在过度反应现象。基于研究结论,为证券市场的健康、平稳、有效运行提出几点建议。

Study on the effect of the institutional investor based on the quarterly time window

Agencies of the capital market investor has become the leading force,on the stock market is.Choosing a company of china stock market for the sample data,through the establishment of a quarter of the institutional investor for the conduct of the regression model.research institutions and the stock investors in the same period,the return and analysis of the agency actions,not the return of strength.Study found that the changes in institutional investors to be the reward is with lagtime a significant impact,this is a persistent and more influence in the current issue of relatively weak,the issue of an agency action in response.based on the result of securities market,health,stability,efficient operation of a few suggestions.