湖南大学学报（社会科学版）2016，Vol.30Issue(2)：73-80,8.
机构持股对房地产股票收益波动的影响研究基于面板数据的门限分位回归模型∗
Research on the Impact of Institutional Ownership to Real Estate Stock Market Volatility Evidence from Threshold Quantile Regression Based on Panel Data
摘要
Abstract
For the problem of correlation between institutional ownership and the volatility of real es-tate companies stock returns in different market conditions,this paper establishes a threshold quantile re-gression model with panel data.We confirm that in different market conditions,for the real estate compa-nies whose stock returns volatility is at different levels,there are differences in the effect degree of institu-tional ownership.If the stock market appears extreme returns,institutional ownership strengthens the stock returns volatility.The positive impacts of institutional ownership increase with the quantiles of the volatility when the stock market extremely falls.In the whole consolidation market,the proportion of in-stitutional ownership does not have a significant impact on stock returns volatility,but the change of pro-portion will weaken the stock returns volatility.关键词
股票收益波动/机构持股/极端收益/门限分位回归Key words
the volatility of stock return/institutional ownership/extreme income/threshold quantile regression分类
管理科学引用本文复制引用
朱慧明,汤月丽,张聪,贾相华..机构持股对房地产股票收益波动的影响研究基于面板数据的门限分位回归模型∗[J].湖南大学学报（社会科学版）,2016,30(2):73-80,8.基金项目
国家自然科学基金创新群体项目(71221001) （71221001）
国家自然科学基金重点项目(71431008) （71431008）
