摘要
本文以2005~2014年我国沪深两市所有A股上市公司和机构投资者的持股比率为初始研究样本,研究机构投资者持股比率对单个公司股价崩盘风险的影响,并进一步考察信息透明度对两者关系的影响。从增量效应和水平效应的角度解释机构投资者对股价崩盘风险的影响和利用信息透明度的高低,考察信息透明度的高低对两者关系的影响。主要结论为:机构投资者持股比例与股价崩盘风险呈现正相关关系,即机构投资者持股比例越高,股价崩盘风险越高;信息透明度较低时,机构投资者与股价崩盘风险之间的正相关关系较显著。
This paper uses the statistics of Shanghai and Shenzhen A-share and institutional investors holding ratio of listed companies in 2005 -2015 as the initial study sample, and studies the effect between institutional ownership and stock price crash risk; then further investigates the impact of transparency of information on the relationship between institutional ownership and stock price crash risk. The paper explains the impact of institutional investors on the stock price crash risk from the perspective of an incremental effect and level effect. And according to the level of information transparency to investigate the impact of the transparency of information. The main conclusions are as follows： as the proportion of institutional ownership increases, stock price crash risk generally increases. The opacity of financial information can increase the positive correlation between institutional ownership and stock price crash risk.
出处
《经济体制改革》
CSSCI
北大核心
2017年第5期135-141,共7页
Reform of Economic System
基金
国家自然科学基金面上项目"基于样本外追踪效果的股票市场指数优化复制问题研究"(71171158)
教育部哲学社会科学研究重大课题攻关项目"新常态下中国经济运行机制的变革与中国宏观调控模式重构研究"(15JZD012)
