机构投资者如何影响市场的信息效率——来自中国的经验证据

摘要

机构投资者是否能提高证券市场的信息效率进而稳定市场是一个有争议的问题。本文从机构投资者持有渠道和交易渠道的差别人手进行分析，利用深圳证券交易所A股上市公司数据进行实证研究。结果发现，机构持股比例越高，信息效率越高，市场的稳定性越好；而机构交易频率越高，信息效率越低，市场的稳定性越差。这表明机构投资者的持股有利于提高股市的信息效率，而机构投资者的过度交易行为则有害于股市的信息效率。%This study empirically examines how institutional investors in China affect the stock return risk through the ownership channel and the trading channel. It is found that institutional investors help to improve intormation efficiency and stabilize the market through the ownership channel, but destroy information efficiency and destabilize the market through the trading channel.