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
