套利者的一致售卖与股市崩溃

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

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

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