信息投资者与股票波动基于2010—2011年上证A股的数据

doi:-

东北大学学报（社会科学版） ›› 2013, Vol. 15 ›› Issue (4): 355-360.DOI: -

信息投资者与股票波动基于2010—2011年上证A股的数据

邢治斌，仲伟周

(西安交通大学经济与金融学院，陕西西安710061)

收稿日期:2012-10-22 修回日期:2012-10-22 出版日期:2013-07-25 发布日期:2015-11-10
通讯作者: 邢治斌
作者简介:邢治斌(1986-)，男，河北邯郸人，西安交通大学博士研究生，主要从事资本市场、公司治理研究;仲伟周(1968-)，男，江苏连云港人，西安交通大学教授，博士生导师，主要从事资本市场、公司治理研究。
基金资助:
教育部新世纪优秀人才支持计划资助项目(NCET-08-0450);西安交通大学“985工程”二期资助项目(07200701)。

Information Investors and Stock VolatilityBased on the Data of 2010—2011 Shanghai Securities Exchange A Shares

XING Zhi-bin， ZHONG Wei-zhou

(School of Economics and Finance， Xian Jiaotong University， Xian 710061， China)

Received:2012-10-22 Revised:2012-10-22 Online:2013-07-25 Published:2015-11-10
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摘要/Abstract

摘要： 运用2010—2011年上证A股上市公司数据，构建非线性联立方程组模型对机构持股、证券分析师跟进与股票波动的关系进行了实证分析。研究结果发现，机构持股会增大股票市场波动，股票市场波动与机构持股比例呈倒U型关系;证券分析师跟进对稳定股票市场具有重要作用，但是波动较大的股票对证券分析师仍具有吸引力;机构投资者持股与证券分析师跟进呈正相关关系;证券分析师和机构投资者更多关注短期利益而忽视长远利益。

关键词: 信息投资者, 机构投资者, 证券分析师, 股票波动

Abstract: Using the 2010—2011 data of Shanghai Securities Exchange A Shares， this paper made an empirical analysis on the relationship of institutional ownership， analysts follow-up and stock volatility by constructing a non-linear simultaneous equation model. It was found that institutional ownership increases the volatility of the stock market， and the proportion of stock market volatility and institutional ownership takes on a nonlinear inverted U-shaped relationship; securities analysts follow-up plays an important role in stabilizing the stock market while the stocks of much volatility could still attract analysts to follow; there exists a positive correlation between institutional ownership and analysts follow-up; analysts and institutional investors are more concerned about the short-term interests while ignoring the long-term interests. This study is of great significance in regulating and managing institutional investors and securities analysts as well as educating analysts and investors.

Key words: information investor, institutional investor, securities analyst, stock volatility

中图分类号:

F830.91

邢治斌，仲伟周. 信息投资者与股票波动基于2010—2011年上证A股的数据[J]. 东北大学学报（社会科学版）, 2013, 15(4): 355-360.

XING Zhi-bin， ZHONG Wei-zhou. Information Investors and Stock VolatilityBased on the Data of 2010—2011 Shanghai Securities Exchange A Shares[J]. Journal of Northeastern University(Social Science), 2013, 15(4): 355-360.

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信息投资者与股票波动基于2010—2011年上证A股的数据

Information Investors and Stock VolatilityBased on the Data of 2010—2011 Shanghai Securities Exchange A Shares

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