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本文以股票市场日收益率变动的标准差作为衡量股票市场波动的指标,以机构投资者持股比例及其变化作为衡量机构投资者投资行为的指标,主要运用工具变量法进行回归分析。实证结果表明,机构持股比例增加有利于减弱股票市场的波动性,而机构持股比例变化的增加会加剧股票市场的波动性,这两者之间还有相互制约的关系。
In this paper, the standard deviation of the daily return rate of the stock market is used as an index to measure the volatility of the stock market. Taking institutional investors ’shareholding ratio and its changes as indicators to measure the institutional investors’ investment behavior, the paper mainly uses the tool-variable method to conduct regression analysis. The empirical results show that the increase of institutional ownership is conducive to weakening the volatility of the stock market, while the increase of institutional ownership will aggravate the volatility of the stock market. There is also a reciprocal restraint relationship between the two.