机构投资者影响我国股价波动的实证研究
The Empirical Evidence for Institutional Investor's Influence on the Variability of China's Stock Market

采用TGARCH模型对机构投资者与我国股指波动的关系进行研究，实证结果表明:无论是否考虑宏观经济因素对股票市场的影响，机构投资者对我国股票市场波动均产生正向影响。进一步用面板数据模型对机构投资者与上市公司股价波动的关系进行研究，发现机构投资者在不同宏观经济环境下也均未起到稳定上市公司股价波动的作用。
This paper analyzes the correlation between institutional investors and volatility of stock price index using TGARCH model. This empirical study shows that whether or not considering the influence of macroeconomic factors on the stock market, institutional investors have a positive influence on the stock market volatility in China. Furthermore, when using the panel data model to study the correlation between institutional investors and volatility of stock price of listed companies, it shows that institutional investors do not play a stabilizing role in the volatility of stock price of listed companies in different macroeconomic environment.