摘要
论文运用2015年9月到2019年3月的季度数据,对"国家队"投资者、国内机构投资者和国际机构投资者在股市中的信息优势进行了比较研究。研究发现,"国家队"投资者在股市中既没有体现出"价格压力假说",也没有体现出"信息假说";国际机构投资者对股市的影响仅仅是出于"价格压力假说";而国内机构投资者在股市中拥有信息优势,体现为"信息假说"。进一步,论文考虑了2019年初上市公司的"业绩爆雷"事件,在事件发生前,"国家队"投资者对"业绩爆雷"公司的股票减持并不显著,而国内机构投资者存在大量减持"业绩爆雷"公司股票的现象,验证了国内机构投资者在股市中拥有信息优势。论文最后考虑了"国家队"投资者在国企与非国企的信息优势,结果发现无论是国企,还是非国企,"国家队"投资者都不具有信息优势,验证了"国家队"投资者维护市场信心的角色。
The paper uses the quarterly data from September 2015 to March 2019 to compare the information advantages of "national team" investors, domestic institutional investors and international institutional investors in the stock market. The study found that the "national team" investors are consistent with the price-stress explanation in the stock market, nor the information explanation.The influence of international institutional investors on the stock market was only due to the price-pressure explanation. Domestic institutional investors have an information advantage in the stock market. Further, the paper considers the "substantial underperformance" incident in early 2019. Before the incident, the "national team" investors did not significantly reduce the stocks of "substantial underperformance" companies, but domestic institutional investors have a large number of reductions. The phenomenon proves that domestic institutional investors have information advantages in the stock market.Finally, the information advantage of the "national team" investors in state-owned enterprises and non-state-owned enterprises was considered. The study found that neither the state-owned enterprises nor the non-state-owned enterprises had the information advantage.
出处
《投资研究》
CSSCI
北大核心
2019年第12期64-80,共17页
Review of Investment Studies
基金
教育部人文社会科学青年基金项目(17YJCZH161)
安徽省自然科学基金资助项目.
关键词
国内机构投资者
国际机构投资者
“国家队”
信息优势
Domestic Institutional Investors
International Institutional Investors
"National Team"
Information Advantage
作者简介
潘婉彬:中国科学技术大学管理学院,博士,副教授;杨涛:中国科学技术大学,硕士研究生。
