金融学院知识库

股票市场是一个国家直接融资的重要途径，经济资源配置的有效方式，因此，健康繁荣的股市是一个国家经济持续发展的有力保障。近年来，随着我国资本市场的不断发展与完善，机构投资者在股市中的地位也越来越重要，与散户相比，机构投资者在资金和信息方面具有较大的优势，且具成熟的投资理念和能力，具体表现在机构投资者专业的投资行为有利于稳定股价、提高上市公司治理水平、推动证券市场创新，提高证券市场对经济的支撑作用，但是我国股市中机构投资者操纵股票价格、内幕交易、违法操作行为等现象屡见不鲜，这使得我国股市频频出现大幅波动。基于这一背景，本文对机构投资者行为与我国股市波动进行研究，阐述机构投资者推进我国股票市场健康发展的逻辑与机制。

本文对机构投资者行为与我国股票市场波动的逻辑进行了理论与实证研究。在理论分析层面，本文以供求理论和行为金融学的理论为基础，首先分析了机构投资者对股票市场波动产生影响的作用机理，并提出相应的研究假设；其次在实证检验层面，本文从众多机构投资者中选取目前对我国股市波动性影响相对较大的证券投资基金作为代表，并以三大指数的变动情况来衡量我国股市的波动性，通过建立VAR模型，检验了在不同情境下，机构投资者的行为对股票市场波动性的影响。研究发现，我国股市中机构投资者持股集中度、持股行业的集中度及投资收益率，会受到羊群效应及委托代理关系的影响，而出现集中配置某一股票或配置相同行业股票的情况，从而使得机构投资者并不会起到稳定股票市场的作用，反而是加剧了股市的波动，其背后的原因是我国目前还没有形成一个有利于机构投资者稳定股市的良好环境，同时机构投资者自身的内部控制也不完善。因此，结合我国股票市场发展的实际情况，以及机构投资者自身发展的特征，应对我国的机构投资者进行规范管理，完善其发展环境，这样才能更好地发挥机构投资者对股票市场的稳定作用。

The stock market is an important way of direct financing for a country and an effective way of allocating economic resources. Therefore, a healthy and prosperous stock market is a strong guarantee for the sustainable development of a country's economy. In recent years, with the continuous development and improvement of China's capital market, institutional investors are playing an increasingly important role in the stock market. Compared with retail investors, institutional investors have great advantages in capital and information, and have mature investment concepts and abilities. Embodied in institutional investors investment behavior is conducive to stability of the stock price, improve the level of governance of listed companies, promote innovation in the securities market, improve the securities market's support of the economy, but institutional investors in Chinese stock market stock price manipulation, the phenomenon such as insider trading, illegal operation behavior, which makes high volatility in the stock market appeared frequently in our country. Based on this background, this paper studies the behavior of institutional investors and the fluctuation of China's stock market, and expounds the logic and mechanism of institutional investors to promote the healthy development of China's stock market.

This paper makes a theoretical and empirical study on the logic of institutional investor behavior and stock market fluctuation in China. At the level of theoretical analysis, based on the theory of supply and demand and behavioral finance, this paper firstly analyzes the mechanism of institutional investors' influence on stock market volatility, and puts forward corresponding research hypotheses. In the empirical level, this article selected from many institutional investors at present relatively great impact on the Chinese stock market volatility of securities investment funds as the representative, and with the changes of three index to measure the volatility of Chinese stock market, through the establishment of the VAR model, tested under the different situation, the behavior of institutional investors influence on stock market volatility. The study found that institutional investors in Chinese stock market ownership concentration, the concentration of industry and investment yield, are influenced by the herd behaviour and the principal-agent relationship, and centralized configuration a stock or configure the shares the same industry, so as to make the institutional investors will not have the effect of stability of the stock market, it is exacerbated by the stock market fluctuations, The reason behind it is that China has not formed a favorable environment for institutional investors to stabilize the stock market, and the internal control of institutional investors is not perfect. Therefore, in combination with the actual situation of the development of China's stock market and the characteristics of institutional investors' own development, we should standardize the management of China's institutional investors and improve their development environment, so as to better play the stabilizing role of institutional investors in the stock market.