机构投资者持股与流动性成本——来自中国上市公司的经验证据

摘要

现有的研究认为，机构投资者通过两个渠道影响流动性成本：逆向选择和信息效率。一方面，因信息不对称而带来的逆向选择问题会增大流动性成本；另一方面，机构投资者通过股票交易使私有信息渗透到股价之中，则会提高信息效率，减少流动性成本。因此，机构投资者与流动性成本之间的关系成为一个实证问题。本文研究发现，我国机构投资者持股增加了报价价差、有效价差和PIN值；进一步地，证券投资基金持股比其他机构投资者持股更可能导致流动性成本的增加。因此，我们认为，监管层应严厉打击机构投资者获取内幕信息。加强上市公司信息披露监管，减少逆向选择问题，同时应减少机构投资者操纵股票市场等影响股价信息效率的行为。%Based on prior studies, institutional investors can affect liquidity cost through two channels： one is adverse selection, which increases liquidity cost; the other is information efficiency, which decreases liquidity cost. The relationship between institutional investor＇s ownership and liquidity cost is an empirical problem. This study finds that, the more the institutional ownership, the larger the quoted spread, effective spread and PIN. In addition, mutual fund increases liquidity cost more than the other institutional investors. Therefore, we suggest that the securities regulatory authorities should forbid insider trading and enforce information disclosure to reduce adverse selection, and also forbid institutional investors disturb stock market, in order to increase stock price information efficiency.