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本文采用上证2005~2010年共24个季度数据的面板数据,采用固定效应模型,实证分析了机构持股比例与股市收益率波动之间的关系,以探讨机构投资者能否真正起到缓解股市收益率波动的作用。实证结果表明,机构持股比例与股市收益率波动具有显著的正向关系,即机构投资者比例的增加反而使得股市收益率波动上升,因此监管当局希望在现阶段大力引进机构投资者来缓解股市波动的愿望可能很难实现。
This paper adopts the panel data of a total of 24 quarterly data from 2005 to 2010 in Shanghai Stock Exchange and uses the fixed effect model to empirically analyze the relationship between the institutional ownership ratio and the volatility of the stock market return rate to explore whether institutional investors can really ease the stock market The role of volatility in returns. The empirical results show that there is a significant positive relationship between institutional shareholding ratio and the volatility of stock market returns. That is, the increase in the proportion of institutional investors instead causes the volatility of the stock market to rise. Therefore, regulators hope to introduce institutional investors to ease the stock market at this stage The desire to fluctuate can be hard to come by.