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本文旨在研究机构投资者的交易风格与市场指数表现之间的关系。研究结果表明:在样本期内,基金交易引导短期趋势,多扮演着助推指数上涨的角色;保险资金平衡短期趋势,低买高卖助于稳定指数;券商自营的趋势投资色彩更浓;QFII和重点私募的波段操作特点突出。一个有趣的发现是,券商自营交易是基金和重点私募交易的Granger原因。市场短期的涨/跌幅越大,对保险资金和QFII资金的卖出/买入行为促进作用越强,但对其他机构投资者的影响并不显著。
This article aims to study the relationship between institutional investors’ trading style and market index performance. The results show that: in the sample period, the fund transaction leads the short-term trend and plays the role of boosting the index up more; the short-term trend of the balance of the insurance funds, the low and the high sell to the stability index; the trend of self- QFII and focus on private band operating characteristics of prominent. One interesting finding is that brokerage proprietary trading is a Granger cause of funds and focused private equity deals. Short-term market up / down the greater the insurance funds and QFII funds to sell / buy the stronger the role of promoting, but the impact on other institutional investors is not significant.