Research On The Influence Of Institutional Investor Behavior On The Stock Liquidity

After 20 years of development,the stock market in China still has some shortcomings which deserve our full attention.We often have problems in stock liquidity management when some special circumstance happens,such as the fall of thousands stock or the two-eight phenomenon.Stock liquidity is the straight reflect of the stock market participants,which contains individual investors and institutional investors.Recently,institutional investors play an increasingly important role in our stock market as its developed number and size.Institutional investors’ influence to the stock liquidity will become more and more prominent.So how does it affect stock liquidity? It need our deep research and clear understanding.Through literature review,we found that there is not any consensus in this area.There are different dimensions in institutional behavior.So what is the explicit relationship between the institutional behavior and the stock liquidity? And what is the different influence in different aspect of the institutional behavior? All the above questions deserve a further study based on the current stock market.This paper first analyzes the relationship and influence in theory.Next the empirical research follows.The institutional behavior is separated into two dimensions,trading behavior and stock holding behavior.This paper analyzes the direct and indirect impact mechanism separately.In the indirect impact mechanism,we first find the relationship between the institutional behavior and the stock price informativeness.Next to it,we analyze how the stock price informativeness affect stock liquidity and how the institutional behavior influence the stock liquidity indirectly.In the empirical study part,this paper uses data from the fourth quarter of 2009 to the fourth quarter of 2017 A-shared listed companies in Shenzhen Stock Exchange as research data.The following research are reached.First,both the institutional trading behavior and the stock holding behavior will improve the stock liquidity.Second,the institutional behavior will affect the stock liquidity directly and indirectly.Third,the institutional trading and stock holding behavior will raise the stock liquidity by up-grading the stock price informativeness.These study results enrich the research in the stock liquidity.Meanwhile,these finds give us a deep and clear understanding of the impact mechanism between the institutional behavior,stock price informativeness and the stock liquidity.Furthermore,the study provides reference for further standardizing the institutional behavior.It gives some implications for maintaining the liquidity of the stock market.