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机构投资者能否稳定市场和改善市场效率尚无定论.通过检验不同类型机构投资者的交易行为对波动率和信息效率的影响,基于非平衡面板数据两阶段最小二乘回归模型提供了新的证据.除保险公司以外的机构投资者的交易行为有助于公司私有信息融入股价,使股价更加贴近基本价值,进而提高信息效率和降低波动率.股价信息含量的稳健性检验进一步证实了机构投资者全体和基金的交易行为使股价反映更多的当期和未来盈余信息.整体而言,机构投资者确实起到了稳定市场和改善市场效率的作用,但保险公司在降低波动率和提高信息效率方面没有显著作用.
Institutional investors can stabilize the market and improve market efficiency is inconclusive.On the different types of institutional investors by testing the volatility and information efficiency of the trading behavior of the impact of non-equilibrium panel data based on two-stage least squares regression model provides a new Evidence. The transaction behavior of institutional investors except insurance companies helps to integrate the company’s proprietary information into the stock price, bringing the stock price closer to the basic value, thereby improving information efficiency and reducing volatility. The robustness of the stock price information content further confirms the institutional investment All of the fund and fund transactions make the stock price reflect more current and future earnings information.Overall, institutional investors do play a stabilizing market and improve market efficiency, but insurance companies in reducing volatility and improve information efficiency No significant effect.