Holding Shares by Institutional Investors and Stock Market Stability

股票市场的发展关系到国家经济发展的战略布局，也关系到投资者的直接收益得失、企业的发展壮大以及质量提高。股票市场是否能够长期稳定发展一直是管理层面对的艰难问题。目前，投资主体机构化已经成为国际证券市场的发展趋势。自股权分置改革以来，中国股票市场出现两个明显变化：过山车似的暴涨暴跌过程；机构投资者迅猛发展。伴随着2006年至2008年股市的泡沫、崩溃，我国机构投资者能够稳定市场的结论受到普遍质疑。本文研究集中于机构投资者持股行为与股价的关系，从机构投资者持股和波动、泡沫、崩溃、信息之间的关系上深入探讨机构投资者与股市稳定之间的关系。这将不仅丰富机构投资者相关理论研究，对监管层如何实施有效监管、如何...The development of stock market is not only related to strategic arrangement of the national economy ,but also related to the direct gains and losses of investors, development and quality improvement of companies. However a difficult problem faced by the management administration is whether or not stock market can develop healthily and stably within a long time. Today, institutionalized investors ...学位：经济学博士院系专业：经济学院金融系_金融学(含保险学)学号：1562008015026

Analysis of structural imbalance of institutional investors and the impact on the market

2001年中国证券监管当局提出了“超常规发展机构投资者”的发展思路，随着中国股市的跨越式发展和公众投资意识的觉醒，以投资基金、保险公司和社保基金为代表的机构投资者迅速发展壮大，取代个人投资者成为中国资本市场的主导。但与此同时，机构投资者结构却出现了显著的失衡，证券投资基金无论从持股市值还是市场影响力都远远超过保险公司和社保基金等其他机构投资者而居于绝对优势主导地位。中国机构投资者结构呈现出“一基独大”的格局，而这种失衡的机构投资者结构并不利于我国资本市场的稳定和效率的提高，反而可能加剧市场的波动性和非理性。在既有的对机构投资者及其对市场影响的研究中，往往集中在机构投资者持股特征或羊群行为对市场...In 2001 China Securities Regulatory Commission has proposed an idea of supernormally accelerating the development of institutional investors. With the great-leap-forward development of Chinese stock market and the arousal of the conscious of the investors , institutional investors such as mutual funds, insurance companies and pension funds replacing individual investors have become the leading gro...学位：工商管理硕士院系专业：管理学院高级经理教育中心（EMBA项目）_高级管理人员工商管理硕士(EMBA)学号：X200615612

Research on the Difference of the Herding Bebavior of Institutional Investors and Individual Investors

根据上证180指数成分股数据和topview投资者日持股数据,利用横截面交易量标准差分析了机构投资者和个人投资者的羊群行为差异。研究表明,机构投资者的羊群行为可能是信息较为充分利用的结果,个人投资者的羊群行为则具有更多的非理性因素。This article analyzes the difference of the herding behavior of institutional investors and individual investors by using the data on the 180 index constituent stocks and “top view”investors' holding stocks with the way by measuring “cross sectional standard deviation of trading volume”. The authors explain the above phenomena with asymmetric information，this indicates that the herding behavior of institutional investors is the result of full use of information，but individual investors maybe behave more irrationally.教育部人文社科基金项目“异质信念、卖空限制和我国股市暴涨暴跌机制研究”(08JA790109

Research on the Difference of the Herding Bebavior of Institutional Investors and Individual Investors

根据上证180指数成分股数据和topview投资者日持股数据,利用横截面交易量标准差分析了机构投资者和个人投资者的羊群行为差异。研究表明,机构投资者的羊群行为可能是信息较为充分利用的结果,个人投资者的羊群行为则具有更多的非理性因素。 This article analyzes the difference of the herding behavior of institutional investors and individual investors by using the data on the 180 index constituent stocks and “top view”investors' holding stocks with the way by measuring “cross sectional standard deviation of trading volume”. The authors explain the above phenomena with asymmetric information，this indicates that the herding behavior of institutional investors is the result of full use of information，but individual investors maybe behave more irrationally.教育部人文社科基金项目“异质信念、卖空限制和我国股市暴涨暴跌机制研究”(08JA790109

The Crowding Effect of Institutional Investors and Blue Chip Bubble

基于套利者提前获取股票价值低估等信息假设,在理性均衡分析框架下,探讨套利者导致泡沫的内在机制。主要结论是:在有噪声情况下,股票价格是套利者比例的增函数,当套利者达到一定比例后,股票价格将超过真实价值,套利者的"拥挤交易"导致价格出现明显泡沫;经验证据表明机构投资者的拥挤交易是蓝筹股泡沫产生的重要原因。Based on the information hypothesis on receiving underv alued stocks of ar bitrag eurs and a rat ional equilibrium analysis framework, we study the internal mechanism of the bubble and find that stock price is an increasing function o f the proportion of arbitrag eurs when there is noise. But when arbitrag eurs reach a certain proportion, stock price will supass the real value, and the crowed trading of arbitrag eurs will lead to obvious bubble. The empirical evidence suggests that the crowding trade of institutional investors is the important reason why blue chip bubble is coming into being .国家自然科学基金资助项目(71071132

The Crowding Effect of Institutional Investors and Blue Chip Bubble

基于套利者提前获取股票价值低估等信息假设,在理性均衡分析框架下,探讨套利者导致泡沫的内在机制。主要结论是:在有噪声情况下,股票价格是套利者比例的增函数,当套利者达到一定比例后,股票价格将超过真实价值,套利者的"拥挤交易"导致价格出现明显泡沫;经验证据表明机构投资者的拥挤交易是蓝筹股泡沫产生的重要原因。 Based on the information hypothesis o n receiving underv alued stocks of ar bitrag eurs and a rat ional equilibrium analysis framewo rk, w e study the inter nal mechanism of the bubble and find that stock price is an increasing function o f the pr opo rtion o f arbitrag eurs when ther e is noise. But w hen arbitrag eur s reach a cer tain propor tion, sto ck pr ice w ill supass the real value, and the cr ow ed trading of arbitrag eurs will lead to obvio us bubble. The empirical ev idence sug gests t hat the crow ding trade of institutional investo rs is the important reason why blue chip bubble is coming into being