中国股市机构投资者多账户交易行为研究

多账户交易行为是中国机构投资者的典型特征,是中国股票市场的特有现象。限于交易数据的可获得性,相关研究较少。本文提出了一种从交易数据中将机构投资者的交易记录分离出来的方法。据此,本文分析了机构投资者证券账户与资金账户的对应关系,证实了多账户交易行为的存在,发现采用多账户交易的机构投资者具有集中投资、日内多次交易、利用不同证券账户进行建仓、对敲、拉升股价、出货等基本特征。根据实证研究的结果并结合实例,本文揭示了机构投资者多账户交易的动机是隐蔽交易、拉升股价和申购新股。

Institutional Investors' Trading Behavior on China Stock Markets through Muti-Securities Accounts

Trading through muti-securities accounts is an unique character of China's institutional investors. This paper provided an method to separate institutional investors data from trading data. We got the proof that institutional investors were to use related accounts to manipulate stock price by wash sales, improper matched orders, jumping and dumping, etc. According to the empirical results, we proposed the increasing application chance motivation for IPO of using muti- securities accounts other than the manipulation content. We then gave several advices to normalize the muti- securities accounts behavivor.