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本文采用方差比检验的方法,选取2011-2015年的数据实证分析五种不同类型机构投资者对市场效率的影响,以季度为单位计算出各类机构投资者所持重仓股日收益率和周收益率的波动率,代入模型求出有效性指数,衡量机构投资者对中国证券市场有效性贡献的大小。结果表明,机构投资者能促进市场效率的提高,不同类型机构投资者持股对市场效率影响的程度稍有不同,其中券商和保险公司的贡献较高。
This paper uses the method of variance ratio test, select the data from 2011-2015 empirical analysis of the impact of five different types of institutional investors on market efficiency, quarters as a unit to calculate the various institutions of investors hold the daily rate of return and weekly gain Rate of volatility, into the model to obtain the validity index to measure the size of the institutional investors to contribute to the effectiveness of China’s securities market. The results show that institutional investors can promote the improvement of market efficiency, and the degree of impact of different types of institutional investors on market efficiency is slightly different. Among them, the contribution of brokerage firms and insurance companies is higher.