Abstract: Based on the interactive platform of the Shenzhen Stock Exchange, we analyze the route of the behavior of institution survey-investors’ attention-stock liquidity, verifying the demonstration effect of institutional behavior. We can conclude that institutional survey behavior has a strong demonstration effect, which can promote the liquidity of stocks by attracting the attention of other investors, and the more concentrated the survey behavior of institutions, the stronger the demonstration effect. In addition, investors have higher information needs for companies with lower quality of information disclosure and lower proportion of institutional shareholdings, because they are more concerned about the survey behavior of such companies, and the demonstration effect is stronger. The conclusions not only support the information superiority and behavioral influence of institutional investors, but also provide evidence for the market guidance role of institutional investors.

Key words: institutional survey behavior, investor attention, stock liquidity, demonstration effect JEL classification: G14, G18, G32

摘要： 基于深交所“互动易”平台的机构调研信息和投资者问答数据,以投资者关注为聚焦点,通过剖析机构调研行为-投资者关注-股票流动性的传导路径,检验中国股票市场机构调研行为的示范效应。结论表明,机构调研行为具有强烈的示范效应,能够通过引起其他投资者的关注,促进中短期股票流动性的提高,且机构调研行为越集中,这种示范效应越强。此外,对于信息披露质量较低和机构持股比例较低的公司,机构调研行为更容易引起投资者的关注,示范效应更强。研究结论验证了机构投资者的信息优势性和行为影响力,支持了投资者的信息解读能力,为机构投资者的市场引导作用提供解释依据。

关键词: 机构调研行为, 投资者关注, 股票流动性, 示范效应