股票流动性、异质机构与企业投资效率
Stock Liquidity, Heterogenous Institutional Investors and Investment Efficiency

本文从机构投资者治理视角研究了股票流动性对企业投资效率的影响。基于2003―2016年中国所有上市公司的高频交易数据,计算得到相对有效价差所衡量的企业股票流动性后,利用倾向得分匹配和倍差估计方法进行实证检验。研究发现:股票流动性、机构投资者持股和企业投资效率之间存在完全的中介效应,即股票流动性并不能直接影响企业的投资效率,而是通过对机构投资者持股的影响来体现;民营企业中,股票流动性能够提高机构投资者持股比例,发挥机构投资者的积极作用进而提高投资效率,且这种提升作用受到机构异质性的调节,基金的中介作用最强、合格的境外机构投资者最弱;国有企业中,股票流动性与投资效率之间不存在显著关系。
By emphasizing the governance role of institutional investors, this paper studies stock liquidity′s influence on investment efficiency, and measures the stock liquidity by calculating the relative effective spread based on the high？？frequency data of listed companies in 2003―2016, and uses propensity score matching method and differences in difference method to carry out the empirical test. Results show that: First, there is a complete mediation effect between stock liquidity and investment efficiency, namely, institutional investor is the mediation variable and stock liquidity does not directly affect the investment efficiency, but rather through to reflect the influence of institutional investorownership. Second, in private enterprises, stock liquidity can improve the shareholding ratio of institutional investors and play an active role to improve investment efficiency; Moreover, this kind of promotion is regulated by the heterogeneity of the institutional investors, and the Fund(MF) has the strongest intermediary role and the weakest QFII. Finally, there is no significant relationship between stock liquidity and investment efficiency in state？？owned enterprises