10 research outputs found

    Holding Shares by Institutional Investors and Stock Market Stability

    Get PDF
    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

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

    Get PDF
    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

    套利者的一致售卖与股市崩溃

    Get PDF
    在现有研究基础上,将套利者的售卖压力内生化,探讨套利者一致售卖和股市崩溃的关系。结果显示,反馈交易者影响套利者骑乘泡沫的时间,但并不影响崩溃的时间。对topview投资者日持股数据进行的分析表明,机构投资者不仅骑在泡沫上,而且其提前售卖与2007年上海股市崩溃密切相关。这对正确认识机构投资者作用和市场监管具有重要启示。Investors distraction will cause the inadequate response to the earningsan nouncements.Taking earningspre- announcements inChina's listed companies from year 2003-2009 as our sample,we found that compared with other week calendar and lownews days,investors pay less attention to the earningspre-announcements disclosed on Friday Saturday and inhigh newsdays separately,which verifies the hypothesis that competitive information and information released at weekend can distract the investors'attention.Moreover,Companies are more likely to disclose badnews in weekend and high newsdays when investor are less attention than do that inother week calendar and lownewsdays,so as to reduce the downward volatility of stockprices,which cause the phenomenon of centralized disclosing of negative information.Therefore,our study provides an alternative explanation for the badnews "clustering"phenomenon from the perspective of investors'distraction theory.国家自然科学基金(71071132);南京审计学院人才引进项目(NSRC11014

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

    Get PDF
    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 Asymmetric of Shares' Price-Micro-Volatility by Institutional Investors

    No full text
    文章利用TOPVIEW机构投资者日持股数据,构建股价波动率与机构投资者日净买率等指标,使用gMM回归、滚动回归、递归回归,从个股角度动态分析机构投资者对股价微观波动的影响。实证结果表明,机构投资者对股价微观波动的影响因不同的市场状态而具有非对称性,并可以用信息假说进行解释。管理层应依据不同的市场状态而采取合适的措施以实现机构投资者的稳定作用。using share holding of institutional investors of daily data from topview,we establish the indicators of price volatility and net buying rate,and use GMM regression,rolling regression, recursive regression,analyze the impacts on micro-volatility of stock price by institutional investors from dynamic.The empirical results show that the impacts are unsymmtical and depend on different market status,which can be expained by information hypothesis and market condition hypothesis.In order to achieve the stability of stock price by insititutional investors,the management should take appropriate measures under different market status.国家自然科学基金(71071132)的阶段性成

    The Crowding Effect of Institutional Investors and Blue Chip Bubble

    No full text
    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

    The Crowding Effect of Institutional Investors and Blue Chip Bubble

    No full text
    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 Asymmetric Impact on Macro-volatility of Holding Shares by Institutional Investors

    No full text
    本文利用Topview机构投资者日持股数据,构建机构投资者日净买率等指标,使用GMM回归、递归回归,从波动、收益两个角度动态分析机构投资者对股价宏观波动的影响。实证结果表明,机构投资者对股价宏观波动的影响因不同的市场状态而具有非对称性,并可以用信息假说进行解释。管理层应依据不同的市场状态而采取合适的措施以实现机构投资者的稳定作用。Using holding share by institutional investors of daily data from Topview, we establish an indicator of net buying rate, and use GMM regression, recursive regression, analyze the impact on macro-volatility of stock price by institutional investors from two aspects of volatility and return. The empirical results show that the impact is unsymmetrical depends on different market conditions; this can be explained by information hypothesis. In order to achieve the stability of stock price, management should take appropriate measures under different market conditions.国家自然科学基金《我国股市投机性泡沫识别和投资者乘骑泡沫行为研究》(项目编号:71071132)的阶段性成

    温莪术化学成分的研究

    No full text
    目的 :对温莪术药用有效成分进行研究。方法 :采用溶剂提取 ,D 10 1大孔吸附树脂柱粗分 ,硅胶柱及薄层色谱进行分离纯化 ,物理、化学和波谱学方法鉴定化合物的结构。结果 :分离得 5个化合物 ,莪二酮、新莪二酮、莪术醇、四甲基吡嗪、(R) (+) 1,2 十六烷二醇。结论 :新莪二酮 2和 (R) (+) 1,2 十六烷二醇为首次从温莪术中分离获得 ,后者为姜黄属植物中首次报道 ,并优化了上述其它化合物的分离纯化方法
    corecore