机构投资者羊群行为与股价崩盘风险
许年行;于上尧;伊志宏;
摘要(Abstract)：
机构投资者究竟是会加剧股价崩盘风险,还是起到稳定资本市场的作用,是近年来财务学研究和社会各界关注的焦点。本文以2005~2010年我国A股上市公司和机构投资者持股数据为研究样本,从机构投资者"羊群行为"视角考察其对公司层面股价崩盘风险的影响。研究发现:(1)机构投资者的羊群行为提高了公司股价未来崩盘的风险;(2)在区分羊群行为的不同方向后发现,上述正向关系在"卖方"羊群行为的样本中更为明显;(3)合格境外机构投资者(QFII)的存在并不能减弱机构投资者羊群行为与股价崩盘风险之间的正向关系。进一步研究发现,机构投资者羊群行为同样提高了上市公司股价同步性,并且QFII的存在会加剧机构投资者羊群行为与股价同步性之间的正向关系。这说明,在中国,机构投资者更多的是扮演"崩盘加速器",而不是"市场稳定器"。本文的研究对于理解机构投资者在我国资本市场中的作用以及如何防范股价崩盘风险、促进股市平稳发展都具有重要的理论与现实意义。
关键词(KeyWords)： 机构投资者;羊群效应;崩盘风险;股价同步性
基金项目(Foundation): 国家自然科学基金项目(批准号:71172180、70972130);; 全国博士学位论文作者专项资金资助项目(批准号:201085)对本研究的支持
作者(Author): 许年行;于上尧;伊志宏;
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- ①在中文翻译中,Herding既称为“羊群行为”,也有的称为“羊群效应”,本文交替使用,不做区分。
- ②资料来源:中国证券监督管理委员会和中国人民银行于2002年12月1日颁布施行的《合格境外机构投资者境内证券投资管理暂行办法》。
- ③由于我国资本市场对QFII存在特殊的限制,例如不可以卖空,并且QFII可以投资的范围也受到限制(如指进入境内市场的最高资金额度和单个投资者的最高投资数额;合格机构投资于单个股票的最高比例),这些也可能导致结果不显著。后文将对此进行稳健性测试。感谢审稿人的宝贵建议。
- ④本文进一步以修正Jones模型估计的应计盈余(ABACC)作为上市公司信息环境的替代变量,研究结论不变。
- ⑤以股价同步性为因变量,同样发现Herding×strategy和Herd_Sell×Strategy的系数都显著为正。
- ⑥篇幅限制,部分稳健性测试的表格不再具体列示,如有需要,可向作者查询。
- ⑦Piotroski和Roulstone(2004)以及Xu等(2013)的研究中均没有做这一步变换,本文在实际回归过程中还使用了R2_diff做为被解释变量,结果与表10保持一致。