主题：Revisiting the Relationship between Institutional Ownership and Idiosyncratic Volatility: Evidence from the China’s and US Stock Markets重新审视机构投资者持股比例与异质性波动率之间的联系 

主讲：薛文骏，上海大学 悉尼工商学院 助理教授　  

主持：高翔   

时间：03月29日（周五）下午14：00 -15：30   

地点：徐汇校区14楼研讨室  

　　内容提要：This paper investigates the relationship between institutional ownership and idiosyncratic volatility in the China’s and US stock markets from 2005 to 2015. We find that the institutional ownership in the China’s stock market is positively related with idiosyncratic volatility while the institutional ownership in the US stock market is negatively related with idiosyncratic volatility. This finding is robust in terms of the financial and non-financial crisis periods, the different proportions of institutional ownership, long-term and short-term institutional ownership, and specific types of institutional investors. This opposite effect of institutional ownership on the idiosyncratic volatility in the China’s and US stock market would attribute to the different institutional monitoring method, the holding period and stock characteristics, including turnover, size and stock risk. 本文研究了2005至2015年间中美股市中“机构投资者持股比例”与“异质性波动率”之间的联系，并发现：这种联系在中国股市中是正向的，但在美国股市中则是负向的，且该结论是比较稳健的。作者认为导致这种现象的原因在于：两个市场中机构投资者监管上市公司的方法各异、机构投资者持股时长不等以及两国股票本身的特性也不同。 

　　演讲者简介：薛文骏，上海大学悉尼工商学院，经济金融系助理教授，佛罗里达国际大学经济学博士。已在Pacific-Basin Finance Journal、Economic Modelling、Asian-Pacific Economic Literature、《财经研究》、《国际贸易问题》、《中国人口•资源与环境》、《上海经济研究》等中英文重要期刊发表学术论文10余篇。 

主办单位：上海商学院财金研究所 

承办单位：上海商学院财金研究所