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本文研究了外资机构持股对中国上市公司股票收益波动的影响。选取2003年到2008年间沪深两市上市公司的样本进行实证检验,结果显示外国机构的持股提高企业股票收益波动,即使在控制了一个完整的所有制结构、企业规模、换手率,并解决内生性问题后,这一结果仍然如此。此外,实证结果同样显示内资持股(个人,机构和政府)和公司的股票收益波动之间存在正相关关系。
This paper studies the impact of foreign ownership on the volatility of stock returns of Chinese listed companies. The empirical test of the samples of listed companies in Shanghai and Shenzhen from 2003 to 2008 shows that the ownership of foreign institutions increases the volatility of corporate stock returns even after controlling for a complete ownership structure, firm size and turnover rate The end result is still the same after the endogeneity problem. In addition, the empirical results also show that there is a positive correlation between domestic ownership (individuals, institutions and government) and the volatility of the company’s stock returns.