| ABSTRACT | 第1-5页 |
| 摘要 | 第5-8页 |
| Introduction | 第8-11页 |
| 1. Background | 第11-16页 |
| ·Introduction to Chinese Stock Market | 第11-12页 |
| ·Background of Institutional Investors | 第12-14页 |
| ·Definition of Institutional Investors | 第12页 |
| ·Development and Current Situation of Institutional Investors | 第12-14页 |
| ·Significance of Thesis | 第14-16页 |
| 2. Literature Review | 第16-22页 |
| ·The Correlation of Institutional Investors’ Holding and Stock Returns | 第18-19页 |
| ·The Impact of Institutional Investors’ Behaviors on Stock Returns | 第19-20页 |
| ·The Effect of Stock Returns on Institutional Investors’ Behaviors – Research on Feedback Trading Strategies | 第20-22页 |
| 3. Data and Research Approaches | 第22-29页 |
| ·Data Source | 第22-23页 |
| ·Variable Selection | 第23-28页 |
| ·Research Approaches | 第28-29页 |
| 4. Institutional Investors’ Holding and Stock Returns | 第29-42页 |
| ·Issues to Be Solved in This Section | 第29-32页 |
| ·Model Construction: Fama-French Three-Factor Model and Parameters Estimation | 第32-38页 |
| ·Reasons for Choosing This Model | 第32-33页 |
| ·The Calculation of Three Factors in Fama – French Model | 第33-38页 |
| ·Statistical Results | 第38页 |
| ·Statistical and Practical Interpretation | 第38-42页 |
| 5. Institutional Investors’ Trading and Stock Returns | 第42-49页 |
| ·Issues to Be Solved in This Section | 第42页 |
| ·Model Construction | 第42-45页 |
| ·Statistical Results | 第45页 |
| ·Statistical and Practical Interpretation | 第45-49页 |
| 6. Granger Causality Test on Relationship between Institutional Trading and Portfolios’ Returns | 第49-58页 |
| ·Problem to Be Solved in This Section | 第49页 |
| ·Model Construction and Data Processing | 第49-51页 |
| ·The Basic Principle of Granger Causality | 第49-50页 |
| ·Model Used in this Section and Data Processing | 第50-51页 |
| ·Statistical Results | 第51-57页 |
| ·Statistical and Practical Interpretation | 第57-58页 |
| ·Interpretation of Table 7 | 第57页 |
| ·Interpretation of Table 8 | 第57-58页 |
| 7. Trading Patterns Before and After Institutional Trading Portfolio Formation Period | 第58-62页 |
| ·Problem to Be Solved in This Section | 第58页 |
| ·Trading Patterns Before and After Portfolio Formation Period | 第58-59页 |
| ·Returns Before and After Portfolio Formation Period | 第59-62页 |
| 8. Conclusions, Summary and Interpretation | 第62-64页 |
| ·Summary of Conclusions | 第62页 |
| ·Interpretation for Conclusions | 第62-64页 |
| Bibliography | 第64-68页 |
| Appendix | 第68-70页 |
| 致谢 | 第70-72页 |
