长钱注活水？

——机构投资者的交易特征与信息优势

阳佳余，马文芳

（南开大学 金融学院，天津 300350）

摘要：作为资本市场高质量发展的源头活水，以中长期资金为代表的耐心资本对于推进金融强国建设具有重要意义。以2007—2023年中国A股上市公司为研究对象，使用双向固定效应模型对机构持股与股市流动性之间的关系进行实证研究。研究结果显示，机构持股对市场流动性宽度、活跃度和深度均存在正向影响。信息机制层面，机构持股通过提升信息效率增强流动性活跃度；交易机制层面，机构持股通过缓解订单失衡的间接效应与正向直接效应叠加，最终改善流动性深度。进一步分析结果显示，机构持股的流动性效应呈现异质性特征：从公司规模看，机构持股对大规模公司流动性宽度与深度产生抑制作用，但对小规模公司流动性宽度与活跃度具有提高作用；短期交易性机构以改善市场流动性深度为主，而长期配置性机构以改善市场流动性活跃度为主。此外，机构投资者在极端市场环境下能发挥逆周期调节功能，可以充当资本市场发展的“压舱石”。

关键词：机构投资者；耐心资本；股市流动性；交易特征；信息效率

作者简介：阳佳余(1979—)，女，南开大学金融学院副教授；马文芳（2002—），女，南开大学金融学院硕士研究生。

基金项目：国家社会科学基金重大项目“超大规模国内市场优势与国内外市场联动：理论机制与实现路径”（23ZDA054）

引用格式：阳佳余,马文芳.长钱注活水?——机构投资者的交易特征与信息优势[J].首都经济贸易大学学报,2025,27(5):96-112.

Long Money Feeds Living Water？

—The Trading Feature and Information Advantage of Institutional Investors

YANG Jiayu, MA Wenfang

（Nankai University, Tianjin 300350）

Abstract: Developing a high-quality capital market is crucial for building up the strength in finance. Medium-to-long-term funds, represented by various institutional investors, especially patient capital committed to long-term value investing, are precisely the “sources of flowing water” for building a solid “reservoir” for a high-quality capital market. Conducting an in-depth exploration of the direction of the impact, transmission paths, and heterogeneous effects of institutional investors’ shareholdings on stock market liquidity in the context of the A-share market holds practical significance for optimizing the investor structure and improving the market stability mechanism.

Based on A-share listed companies from 2007 to 2023, the paper uses a two-way fixed effects model to empirically test the relationship between the proportion of institutional shareholdings and the width, activity, and depth of stock market liquidity. The results show that: (1) Institutional shareholdings have a significant positive effect on the three dimensions of market liquidity. By using the exogenous shock adjusted by the CSI 300 index as an instrumental variable, the improvement effect of institutional shareholdings on liquidity width and depth is further verified, and the conclusion remains consistent in robustness tests. (2) Mechanism analysis shows that institutional shareholdings, by improving information efficiency and alleviating order imbalance, ultimately significantly improve liquidity. (3) The impact of institutional shareholdings is heterogeneous: In terms of company size, institutional shareholdings inhibit the liquidity width and depth of large-cap companies, but have a significant positive impact on the liquidity width and activity of small-cap companies. In terms of institutional types, short-term trading institutions enhance depth through high-frequency trading but damage width and activity, while long-term allocation institutions enhance activity through counter-cyclical operations but inhibit width and depth. In terms of the market environment, during market downturns, the market rescue policies weaken the positive effect of institutional shareholdings on activity by suppressing trading frequency, forming a counter-cyclical adjustment effect.

This paper provides new viewpoints and evidence for guiding long-term funds to enter the market and invigorating the capital market. First, it comprehensively considers the trading behavior characteristics and information advantages of institutional investors and conducts an in-depth exploration of the impact direction and the internal transmission mechanism between institutional shareholdings and stock market liquidity. Second, in terms of the classification of institutional investors, it considers different types of heterogeneous institutional investors and comprehensively compares the differential impacts of institutional investors with different investment tendencies and behavior characteristics on different dimensions of stock market liquidity. Third, based on the benchmark regression, this paper is expanded to special market environments, and it is found that institutional investors can play a counter-cyclical adjustment function in extreme market environments and serve as a “stabilizer” for the capital market.

Keywords: institutional investors; patient capital; stock market liquidity; trading feature; information efficiency

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