Institutional Investors Ownership and Liquidity Cost:Evidence form Listed Firms of China
研究机构投资者持股如何通过逆向选择和信息效率两个渠道影响流动性成本，发现持股越多，买卖价差和知情交易概率越大，且共同基金的影响更显著。
Based on prior studies,institutional investors can affect liquidity cost through two channels;one is adverse selection,which increases liquidity cost;the other is information efficiency,which decreases liquidity cost.The relationship between institutional investor's ownership and liquidity cost is an empirical problem.This study finds that,the more the institutional ownership,the larger the quoted spread,effective spread and PIN. In addition,mutual fund increases liquidity cost more than the other institutional investors.Therefore,we suggest that the securities regulatory authorities should forbid insider trading and enforce information disclosure to reduce adverse selection,and also forbid institutional investors disturb stock market,in order to increase stock price information efficiency.