机构投资者建仓行为导致的套利限制研究

有效市场假说是否成立与套利有密切的关系，因此套利是否受到限制成为对众多“异象”争论的焦点。股票市场上的套利者往往是机构投资者，通过分析机构投资者建仓行为的前提、客观原因、主观原因，说明建仓行为对股票套利的影响。需要建立巨大头寸是机构投资者建仓的前提条件，而建仓的主观原因来源于股票套利风险巨大，客观原因来自于股市特殊结构带来的流动性（成交量）风险。套利者（机构投资者）的建仓行为将所需要的头寸拆散，逐步交易，产生对套利的限制。

Study of Limits to Arbitrage Based on Position Building of Institutional Investors

Arbitrage ptays an important role in the debate on Efficient Market Hypothesis. Therefore, limits to arbitrage are the key to the explanations of many financial anomalies. Most arbitragers in stock market are institutional investors. By analyzing the precondition, objective and subjective causes of institutional investors＇ position building behavior, the paper illustrates the impact of position building on arbitrage in stock market. A large position is the precondition of insti- tutional investors＇ position building. Subjective reasons for position building are the high risks of stock arbitrage, and objective reasons are the liquidity risks of stock market, which are highly related with turnover. It is necessary for institu- tional investors to break up trade and spread trade over time in building position to lead to limits to arbitrage.