Information Advantage,Abnormal Trading And Excess Returns Of Institutional Investors

Since the rules for real-time monitoring of abnormal securities trading was officially implemented in Shanghai Stock Exchange in 2003,abnormal trading has been concerned by the society.Many experts and scholars have made in-depth research on the causes of abnormal trading,the impact of abnormal trading on the development of stock market and the impact of abnormal trading on investment decision-making,and found that abnormal trading is an important factor affecting the development of China’s market economy.As an important investor in China’s stock market,institutional investors are of great significance to the price of China’s stock market and the supervision of Companies in many aspects,such as the specialization of investment and financial management business and the standardization of investment behavior.Therefore,it is necessary to conduct in-depth research on institutional investors.From the perspective of institutional investors,this paper analyzes the relationship between information advantages,abnormal transactions of institutional investors and excess returns,which provides a strong empirical basis for government supervision and the formulation of relevant laws,regulations and rules.This paper takes institutional investors as the research object,and takes the shareholding data of institutional investors in Shanghai and Shenzhen stock markets from 2015 to 2020 as the sample.Firstly,using the horizontal return of arrow securities,this paper analyzes the impact of institutional investors using information advantage to obtain excess return,and discusses the impact of institutional investors’ shareholding strategy on excess return under the condition of information advantage.Secondly,it studies the correlation between abnormal trading and excess return of institutional investors.Furthermore,from the perspective of heterogeneity,this paper studies the effect of information advantage on institutional investors’ access to excess returns.Then,using stepwise regression analysis,this paper studies the intermediary utility of abnormal transactions of institutional investors.The results show that:(1)information advantage significantly promotes institutional investors to obtain excess returns;Under the condition of information advantage,the investment strategy of institutional investors’ new investment in other stocks has a more significant effect on the excess return than the reduction and new investment strategy.(2)Abnormal transactions of institutional investors have a significant positive impact on excess returns.In the stock market,the abnormal trading of each unit can obtain an excess income of 0.0221 yuan,which is consistent with the "rational economic man" characteristics of institutional investors.(3)Based on the heterogeneity analysis of the industry and scale of the investment object,it is found that there are significant differences in the use of information advantages by institutional investors to obtain excess returns.When investing in transportation,warehousing and postal industry,institutional investors use information advantages to obtain the most obvious excess returns,but they have no significant impact on manufacturing,real estate,information transmission,software and information technology services;Investing in large-scale listed companies has a significant impact on obtaining excess returns,which has little impact compared with small-scale listed companies.(4)Abnormal trading of institutional investors plays an intermediary effect between information advantage and excess return.Institutional investors take advantage of information to obtain excess returns through abnormal transactions,which forms a path dependence,which is unfavorable to the healthy development of the securities market.For the above research conclusions,this paper puts forward four suggestions from the government level: strengthening information disclosure,establishing full-time departments,implementing differentiated supervision mode,strengthening administrative punishment;From the point of view of the institutional investors,this paper puts forward four countermeasures: improving professional ability,abiding by laws and regulations,maximizing legal income and strengthening industry self-discipline.