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本文从中介效应的角度考察了机构投资者是否根据上市公司的未预期盈余调整资产组合、进而引起股价的波动。结果表明:机构投资者资产组合调整在未预期盈余与股价波动的关系中发挥了显著的中介效应;面对上市公司的未预期盈余,在股票市场上涨时,机构投资者比较积极而正向地调整其资产组合,从而加剧了股价波动;当股票市场下跌时,机构投资者较少调整其资产组合,表现出资产组合调整惰性,从而降低了股价波动。本文的结论有助于市场各方洞悉机构投资者在股价波动中的作用,也为监管部门出台相关政策提供了决策参考。
This paper examines whether institutional investors adjust their portfolios based on the unplanned earnings of listed companies from the perspective of intermediary effects, which in turn leads to the volatility of stock prices. The results show that the institutional investors’ portfolio adjustment plays a significant intermediary role in the relationship between the unanticipated earnings and the stock price volatility. In the face of the unexpected earnings of listed companies, when the stock market goes up, institutional investors are more positive and positive Adjusting its portfolio further exacerbated stock price volatility; as the stock market dipped, institutional investors adjusted their portfolios less frequently, showing a lagged portfolio mix, reducing stock price volatility. The conclusion of this article will help all parties in the market to understand the role of institutional investors in stock price volatility and also provide reference for the decision-making of relevant policies issued by regulatory authorities.