Institutional Investors' Behavior And Secrities' Abnormal Returns Study

In recent years, with the rapid development of institutional investors, the development pattern had a huge change in the capital market. The institutional investors have presented to give priority to the mutual fund, the trust company, the insurance company, QFII and social security fund, the enterprise annuity and other institutional investors unified the multiplex development pattern.By the end of July, 2009, the above institutional investors'ownership of A stock market value exceed 63.68%. Such big market share, means that the institutional investors are day by day remarkable to function in the capital market. Therefore the domestic and foreign scholars pay attention to the institutional investors and emerged massively related literature which studied about the institutional investor. Most of the literatures use the quarter data or the annual data explained the relationship between the institutional investor behavior and market returns.This article mainly based on the behavior finance of herding behavior and positive feedback trading, and use event study method to study the following question: First, whether institutional investors ownership changes related with the securities abnormal returns on the event day. Second, if the institutional investment ownership changes and abnormal returns are relative, then whether the relationship is caused by positive feedback trading or the price of herding.This article use the institutional investors date ownership data, and through the empirical analysis and drew the following conclusions. There is a certain relationship between institutional investment herding effect and company's specific attribute. That's to say, the institutional investors tend to buy these stocks with low P/E and low risk; sell these stocks with high P/E and high risk. Transaction of the institutional investor has provided many fluidity for the market, and institutional investors increase ownership of high returns stocks during the event, but institutional investors reduce the ownership of low return stocks; Institutional investors ownership changes and stock returns change is mainly caused by the price of herding effects.