The Crowding Effect of Institutional Investors and Blue Chip Bubble

Abstract

基于套利者提前获取股票价值低估等信息假设,在理性均衡分析框架下,探讨套利者导致泡沫的内在机制。主要结论是:在有噪声情况下,股票价格是套利者比例的增函数,当套利者达到一定比例后,股票价格将超过真实价值,套利者的"拥挤交易"导致价格出现明显泡沫;经验证据表明机构投资者的拥挤交易是蓝筹股泡沫产生的重要原因。 Based on the information hypothesis o n receiving underv alued stocks of ar bitrag eurs and a rat ional equilibrium analysis framewo rk, w e study the inter nal mechanism of the bubble and find that stock price is an increasing function o f the pr opo rtion o f arbitrag eurs when ther e is noise. But w hen arbitrag eur s reach a cer tain propor tion, sto ck pr ice w ill supass the real value, and the cr ow ed trading of arbitrag eurs will lead to obvio us bubble. The empirical ev idence sug gests t hat the crow ding trade of institutional investo rs is the important reason why blue chip bubble is coming into being