摘要
为研究机构投资者对股市稳定性的作用,以证券投资基金为机构投资者代表,引入股权分置改革和深化体制改革作为中国股市两大情绪转换期的分隔点,利用主成分分析法得出个人投资者情绪指数,使用EGARCH模型(exponential generalized autoregressive conditional heteroskedasticity model,指数广义自回归条件异方差模型)实证研究在不同股市情绪下机构投资者对股市波动性及个人投资者的影响。结果表明:在股权分置改革时期,机构投资者行为系数η1小于0,杠杆指标β大于0,交互项显著,表明机构投资者减弱了股市波动性,且存在正杠杆作用,此时机构投资者对个人投资者影响较大;在情绪平淡期,η1值远小于0,个人投资者指标十分显著,表明机构投资者对股市波动性和个人投资者的正向影响最大;在深化体制改革时期η1的估计值为30.216,此时交互项不显著,表明此时机构投资者加剧了股市波动,但对个人投资者的影响作用不大。可见,机构投资者并不能在任何时候都起到稳定股市的作用,也不能对个人投资者行为起到持续的正向影响,因此监管当局需根据不同股市情绪灵活制定相应政策。
In order to study the effect of institutional investors on the stability of stock market, this paper took the securities investment fund as the representative of institutional investors, introduced split share structure reform and deepening the system reform as the separation point of two major sentiment conversion periods in China’s stock market, used the principal component analysis method to obtain the individual investor sentiment index, and applied the EGARCH model(exponential generalized autoregressive conditional heteroskedasticity model) to empirically study the institutional investors’ impact on the stock market volatility under different stock market sentiments. The results show that in the period of split share structure reform, the behavior coefficient of institutional investors η1 is less than 0, the leverage index β is greater than 0, and the interaction term is significant, which indicates that institutional investors weaken the volatility of stock market, and there is a positive leverage effect. At this time, institutional investors have a greater impact on individual investors;in the period of calm mood, the value of η1 is far less than 0, and the individual investor index is very significant, which indicates that institutional investors have a strong influence on stock market volatility and individual investors. In the period of deepening the system reform, the estimated value of η1 is 30.216, and the interaction term is not significant, which indicates that institutional investors aggravate stock market volatility, but have little effect on individual investors. Therefore, it can be seen that institutional investors can not stabilize stock market at any time, nor can they have a sustained positive impact on the behavior of individual investors. The regulatory authorities should formulate corresponding policies flexibly according to different stock market sentiments.
作者
张萍
周羿吟
ZHANG Ping;ZHOU Yiyin(School of Economics and Management,Zhejiang University of Science and Technology,Hangzhou 310023,Zhejiang,China)
出处
《浙江科技学院学报》
CAS
2021年第2期123-130,143,共9页
Journal of Zhejiang University of Science and Technology
基金
教育部人文社会科学规划项目(18YJA790108).
关键词
机构投资者
股市情绪
EGARCH模型
主成分分析
institutional investors
stock market sentiment
EGARCH model
principal component analysis
