摘要
摘要
随着中国证券市场改革的深化与健全，市场交易主体多元化特征凸显，其中
机构投资者持股占比从 2011年的 15.6%上升到 2020年的 62%，机构投资者已经
成为中国证券市场交易主体中重要的组成部分。那么，随着市场上机构投资者持
股占比的增加，会增加上市企业的信息透明度吗？会对上市公司股价波动产生
什么影响呢？
为此，论文首先全面地梳理和总结了既有文献，从机构投资者对股价波动的
影响，机构投资者对信息透明度的影响，机构投资者、信息透明度与股价波动的
内在逻辑关系三个维度对既有研究主题和方法做了归纳；其次，基于经济学供求
关系分析与信息不对称理论，从理论上分析了机构投资者对信息透明度与股价
波动的影响，并提出了六个研究假设；最后，收集了 2010-2020年间 A股市场中
机构投资者的持股比例数据，选取了公司盈余质量、是否被四大会计师事务所审
计、分析师追踪人数、股票收益率、波动率等指标，通过中介效应逐步回归法，
论证了机构投资者持股是否能够起到提高公司信息透明度、降低股价波动的假
设，并深入研究了异质性机构投资者对信息透明度和股价波动的影响，以及在不
同股市行情中，机构投资者所发挥的作用。
实证研究发现：一是机构投资者持股比例与股价波动负相关，且机构持股对
股价波动的影响存在中介效应，即机构投资者可以直接通过提高持股比例降低
股价波动，也能通过加强公司信息透明度的方式间接抑制股价的波动，这与理论
分析结果一致。二是针对异质性机构投资者而言，其中压力敏感型机构投资者能
通过增加持股直接降低股价的波动，同时也能增强公司信息透明度。但压力抵制
型机构投资者与股价波动显著正相关。三是综合来看，无论是在牛市还是熊市，
机构投资者均能够通过提高公司信息透明度来降低股价波动。特别是熊市行情
下，机构投资者起到的监管作用和公众所预期的稳定金融市场作用更为显著。基
于实证结果，从政策上积极鼓励机构投资者发展对我国证券市场的完善与发展
是有利的。
关键词：机构投资者；信息透明度；股价波动；逐步回归法
I

Abstract
Institutional Investors, Information Transparency
and Stock Price Volatility
Ruan Lianfang
Master of Finance
Directed by Dong Zhiwei
Abstract
With the deepening and improvement of China's securities market reform, the
diversified characteristics of market trading subjects are prominent. The shareholding
proportion of institutional investors has increased from 15.6% in 2011 to 62% in 2020.
Institutional investors have become an important part of trading subjects in China's
securities market. Then, with the increase of the shareholding proportion of
institutional investors in the market, will it increase the information transparency of
listed enterprises? And what impact will it have on the stock price fluctuation of listed
companies?
Firstly, the paper comprehensively combs and summarizes the existing literature,
and summarizes the existing research topics and methods from three dimensions: the
impact of institutional investors on stock price fluctuation, the impact of institutional
investors on information transparency, and the internal logical relationship between
institutional investors, information transparency and stock price fluctuation. Secondly,
based on the analysis of economic supply-demand relationship and the theory of
information asymmetry, this paper theoretically analyzes the impact of institutional
investors on information transparency and stock price fluctuation, and puts forward six
research hypotheses. Finally, collecting the data on the shareholding ratio of
institutional investors in the A-share market from 2010 to 2020, and selecting the
indicators such as the quality of the company's earnings, whether it is audited by the
II

Abstract
top four major accounting firms, the number of analysts to track, stock return and
volatility . Through the intermediary effect stepwise regression method, the hypothesis
that the shareholding of institutional investors can improve the company's information
transparency and reduce the fluctuation of stock price is demonstrated, And in-depth
study of the impact of heterogeneous institutional investors on information
transparency and stock price volatility, as well as the role of institutional investors in
different stock markets.
The empirical results show that, first , the shareholding ratio of institutional
investors is negatively correlated with the stock price fluctuation, and the impact of
institutional shareholding on the stock price fluctuation has an intermediary effect. That
is, institutional investors can directly reduce the stock price fluctuation by increasing
the shareholding ratio, and can also indirectly suppress the stock price fluctuation by
strengthening the company's information transparency, which is consistent with the
results of theoretical analysis. Second, as for heterogeneous institutional investors,
pressure-sensitive institutional investors can not only directly reduce the fluctuation of
stock price by increasing their shareholding, but also enhance the transparency of
corporate information. However, pressure resistant institutional investors are
significantly positively correlated with stock price volatility. Third, on the whole,
whether in bull market or bear market, institutional investors can reduce stock price
fluctuations by improving the transparency of company information. Especially in the
bear market, the regulatory role played by institutional investors and the role of
stabilizing the financial market expected by the public are more significant. Based on
the empirical results, it is beneficial for the improvement and development of China's
securities market to actively encourage the development of institutional investors from
the policy.
Key Words: Institutional Investors; Information Transparency; Stock Price Volatility;
Stepwise Regression
III
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