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本文将股票按照机构投资者持股比例高低分为不同子集,分别研究惯性和反转现象的发生情况。本文发现,不同投资者群体主导的股票子集表现出来截然不同的特征,机构投资者持股比例比较低的股票存在着比较明显的反转现象,而机构投资者持股比例比较高的股票存在着比较明显的惯性现象,两者从不同角度说明了中国股票市场有效性较低。进一步的研究检验了高机构持股的股票在不同的“持有期”延迟后的收益率表现,排除了高机构持股的股票的惯性现象是由市场炒作产生的可能性。本文提出个人投资者的反应过度倾向以及机构投资者的反应不足倾向可能是上述现象的原因。
In this paper, the stock will be divided into different subsets according to the proportion of institutional investors holding shares to study the occurrence of inertia and reversal phenomenon respectively. This paper finds that the subsets of stocks dominated by different investor groups show distinct characteristics. The stocks with relatively low proportion of institutional investors have obvious reversal phenomenon, while the stocks with higher proportion of institutional investors hold stocks. The more obvious inertia phenomenon, both from different angles that the Chinese stock market is less effective. Further research examines the performance of high-institutional stocks with different “holding periods” after the delay, and ruled out the possibility that the inertia of stocks with high institutional holdings is generated by market speculation. This article suggests that the tendency of overreaction by individual investors and the underreaction of institutional investors may be the reason for the above phenomenon.