JOURNAL OF EMPIRICAL FINANCE，VOL47 ,JUNE 2018

投资者类型和股票收益波动率

作者：Limei Che (University College of Southeast Norway)

摘要：本文具有双重目的：研究不同类型的投资者如何影响股票收益波动性，并根据投资者的交易行为提供一些解释。挪威提供了所有上市公司的所有投资者15年的月度持股数据。结果表明，外国投资者会增加股票收益波动性，因为他们交易最多，是动量交易者，投资期限最短。相反，个人投资者会减少股票收益波动，因为他们交易最少，是反向交易者，并且投资期限最长。国内机构投资者处于这两个极端之间。

关键词：股票收益波动性，投资者类型，所有权控股，外国投资者，个人投资者，金融机构投资者

Investor Types and Stock Return Volatility

Limei Che (University College of Southeast Norway)

ABSTRACT

The purpose of this paper is twofold: investigate how different types of investors affect stock return volatility, and provide some explanations based on investors’ trading behavior. Norway provides an excellent setting with monthly holding data of all investors on all listed firms over a period of 15 years. The results show that foreign investors increase stock return volatility because they trade the most, are momentum traders, and have the shortest investment horizon. In contrast, individual investors reduce stock return volatility because they trade the least, are contrarian traders, and have the longest investment horizon. Domestic institutional investors fall in-between these extremes.

Keywords: Stock Return Volatility, Investor Types, Ownership Holdings, Foreign Investors, Individual Investors, Financial Institutional Investors

原文链接：

https://www.sciencedirect.com/science/article/abs/pii/S0927539818300276#!

翻译：王秭越