机构投资者行为与中国股票市场泡沫Institutional Investor Behavior and Chinese Stock Bubble
周为
摘要(Abstract)：
本文使用上海证券交易所提供的一套非公开的个股分类账户统计日数据,以2005至2008年中国股市泡沫事件为平台,研究了中国股市泡沫产生期间的机构投资者行为及其对股市的影响。本文发现:从行为看,在股市泡沫产生期间,机构投资者存在持续净买入股票的行为,其持股市值占上证A股总市值的比例不断上升;在选股方面,机构投资者更倾向于买入泡沫化程度较高的股票和过去短期收益率较高的股票。从影响看,在股市泡沫产生期间,机构投资者买入强度与股票当日收益率存在显著正相关关系;在控制了股票过去收益率、过去交易量、流通市值,并排除风险因素后,该结论依然成立。本文结果表明,在中国股市泡沫产生期间,机构投资者没有起到消除价格偏差的作用,而是存在泡沫骑乘(Bubble riding)行为;其泡沫骑乘行为进一步推动了股市泡沫的产生和膨胀。
关键词(KeyWords)： 股市泡沫;机构投资者;泡沫骑乘;股票收益率
基金项目(Foundation):
作者(Author): 周为
DOI: 10.16513/j.cnki.cje.2019.02.008
参考文献(References)：
- 葛新权.2005.泡沫经济计量模型研究与应用[J].数量经济技术经济研究,22(5):67-78.Ge X Q.2005.Study on and application of bubbles economy model[J].The Journal of Quantitative&Technical Economics,22(5):67-78.(in Chinese)
- 刘熀松.2005.股票内在投资价值理论与中国股市泡沫问题[J].经济研究,(2):45-53.Liu H S.2005.The theory of the stock intrinsic value and the bubble of China's stock market[J].Economic Research Journal,(2):45-53.(in Chinese)
- 潘国陵.2000.股市泡沫研究[J].金融研究,(7):71-79.Pan G L.2000.A study of the stock market bubble[J].Journal of Financial Research,(7):71-79.(in Chinese)
- 周爱民.1998.股市泡沫及其检验方法[J].经济科学,20(5):44-49.Zhou A M.1998.Stock market bubble and its testing methods[J].Economic Science,20(5):44-49.(in Chinese)
- 周爱民,汪孟海,李振东,等.2010.基于三分状态MDL方法度量我国股市泡沫[J].南开大学学报(自然科学版),43(2):92-98.Zhou A M,Wang M H,Li Z D,et al.2010.Testing stock market bubbles in China by means of the three states MDL method[J].Acta Scientiarum Naturalium Universitatis Nankaiensis,43(2):92-98.(in Chinese)
- Abreu D,Brunnermeier M K.2003.Bubbles and crashes[J].Econometrica,71(1):173-204.
- Agarwal V,Daniel N D,Naik N Y.2002.Determinants of money-flow and risktaking behavior in the hedge fund industry.Unpublished Paper.
- Brunnermeier M K,Nagel S.2004.Hedge funds and the technology bubble[J].The Journal of Finance,59(5):2013-2040.
- Chevalier J A,Ellison G D.1997.Risk taking by mutual funds as a response to incentives[J].Nber Working Papers,105(6):1167-1200.
- Conrad JS,Hameed A,Niden C.1994.Volume and autocovariances in short‐horizon individual security returns[J].The Journal of Finance,49(4):25.
- De Long J B,Shleifer A,Summers L H,Waldmann R J.1990.Noise trader risk in financial markets[J].Journal of Political Economy,98(4):703-38.
- Fama E F.1965.The behavior of stock-market prices[J].Journal of Business,38(1):34-105.
- Fama E F,Macbeth J D.1973.Risk,return,and equilibrium:Empirical tests[J].Journal of Political Economy,81(3):607-636.
- Fuller W A,Battese G E.1974.Estimation of linear models with crossed-error structure[J].Journal of Econometrics,2(1):67-78.
- Gervais S,Kaniel R,Mingelgrin D H.2001.The high-volume return premium[J].The Journal of Finance,56(3):877-919.
- Griffin J M,Harris J,Topaloglu S.2003.Investor behavior over the rise and fall of NASDAQ[J].Working Paper,Yale University.
- Griffin J M,Topaloglu H S.2003.The dynamics of institutional and individual trading[J].The Journal of Finance,58(6):2285-2320.
- Jegadeesh N.1990.Evident of predictable behavior of security returns[J].The Journal of Finance,45(3):881-898.
- Kaniel R,Liu S,Saar G,et al.2012.Individual investor trading and return patterns around earnings announcements[J].The Journal of Finance,67(2):639-680.
- Kaniel R,Saar G,Titman S.2008.Individual investor trading and stock returns[J].Journal of Finance,63(1):273-310.
- Kindleberger C P.1978 Manias,panics and crashes:A history of financial crises[M].New York:Palgrave Macmillan.
- Lehmann B N.1990.Fads,martingales,and market efficiency[J].Quarterly Journal of Economics,105(1):1-28.
- Lundblad C T,Yang Z,Zhang Q.2018.Informed trading volume and asset prices:The role for aggressive investors[J].Working Paper.
- Sato Y.2016.Fund tournaments and asset bubbles[J].Review of Finance,20(4):1383-1462.
- Shleifer A,Vishny,Robert W.1997.The limits of arbitrage[J].Journal of Finance,52(2):737-783.
- Wurgler J,Zhuravskaya E.2002.Does arbitrage flatten demand curves for stocks?[J].The Journal of Business,75(4):583-608.
- Xiong W.2001.Convergence trading with wealth effects:An amplification mechanism in financial markets[J].Journal of Financial Economics,62(2):247-292.
- (1)因为本文主要研究股市泡沫,关注股票原始收益率的变化,所以并未使用经过市场收益调整的股票收益率。
- (1)在进行年化处理时,本文假设中国每一只股票每一年有252个交易日。