机构投资者竞争与市场信息效率

投资主体机构化已逐渐成为全球金融市场的一个显著特征。在此背景下，可利用赫芬达尔指数构建一个新的机构投资者竞争度指标，并深入考察机构投资者竞争程度对市场效率的影响。基于2003--2011年的沪深两市数据，我们发现，机构投资者竞争越激烈，市场信息效率越高，这体现在如下方面：股价行为更接近随机游走；股票高频买卖价差更小；公司盈余公告后的股价漂移程度明显降低。相关研究得出的结论有清晰的政策含义，即我国监管部门应该大力推动机构投资者的发展，通过理性投资者对信息的竞争和利用，使得市场价格更充分吸收市场信息，从而使得信息效率与定价效率得以提高。

Institutional Investors Competition and the Efficiency of Market Information

Institutionalizing of investment body has gradually become a significant feature of the global financial markets. In this context,we can use the Herfindahl index to build a new institutional in- vestors indicators of the degree of competition, and to study the affect of the level of competition between institutional investors on the market efficiency. Based on 2003 -2011 data of Shanghai and Shenzhen,we found that the more intense institutional investors competition is, the higher the efficiency of market infor- mation will be,which is reflected in the following aspects：the price behavior closer to the random walk; the smaller bid-ask spread of stock changing hands high frequently; share price after the company＇s earnings announcement drift significantly reduced. Clear policy implications of research concluded that China＇ s regulatory authorities should vigorously promote the development of institutional investors, through competition and use of information by rational investors,the market price maight absorb market information more fully, so that the information efficiency and pricing efficiency can be improved.