摘要
如何保障股票市场的稳定在当今国际形势和国内经济环境下具有重要意义。本文以2005—2022年沪深A股为研究对象,通过多维信息与噪声分解研究机构投资者对股价的稳定作用。本研究首先确认整体上机构投资者持股对股价波动率有显著的抑制作用,然后将股价波动的驱动因素分解为市场信息、公司非公开信息、公司公开信息和噪声,进而分析机构投资者与股价波动关系在信息和噪声特征维度有截面差异的股票间的差异性。我们发现在市场信息含量低、公司非公开信息含量高、公司公开信息含量低或噪声含量高的股票中,机构投资者参与对股价波动的抑制作用更为显著。
Ensuring the stability of the stock market is of great significance to the international and domestic economic environment.This study focuses on the A-share market from 2005 to 2022 and examines the stabilizing effect of institutional investors on stock price volatility.The study,which combines information sources and noise decomposition,confirms that institutional investors play a significant role in limiting stock price volatility.In this study,stock price volatility is decomposed into market-wide information,private firm-specific information,public firm-specific information,and noise.The decompositions help analyze the differences in the relationship between institutional investors and stock price volatility in stocks with different information and noise characteristics.The study concludes that the link between market participation by institutional investors and reduced price volaitility is most prevalent in stocks with low market-wide information,high private firm-specific information,low public firmspecific information,and high levels of noise.
作者
劳兰珺
王芊芊
张娜
LAO Lanjun;WANG Qianqian;ZHANG Na(School of Management,Fudan University;Shanghai Municipal Development&Reform Commission,Putuo Branch)
出处
《金融市场研究》
2024年第3期20-29,共10页
Financial Market Research
关键词
股价波动
机构投资者
多维信息
噪声
Stock Price Volatility
Institutional Investor
Multiple Information
Noise
作者简介
劳兰珺,复旦大学管理学院金融与财务学系教授、博士生导师;通信作者:张娜,复旦大学管理学院金融与财务学系副教授,Email:nazhang@fudan.edu.cn。
