摘要
本文以2008—2017年我国A股上市公司和机构投资者重仓持股数据为样本,以重仓股票为节点构建机构投资者网络模型,研究机构投资者网络对股价同步性的影响。研究结果表明,机构投资者网络密度越大,股价同步性越高;地区市场化程度较低,企业具有政治关联以及公司内部治理机制不完善,机构投资者网络对股价同步性的促进作用越强。进一步研究结果表明,位于网络中心位置的机构投资者会提高股价同步性;机构投资者网络通过引发机构投资者羊群行为和降低企业信息透明度提升股价同步性;区分市场状态后发现,在熊市期间,机构投资者网络对股价同步性具有显著的促进作用,而在牛市阶段则不显著。
Based on the interdisciplinary perspective,this paper takes China’s A-Share non-financial listed companies from 2008 to 2017 as samples and constructs the institutional investor network model through the heavy shareholding data of institutional investors.And we study the impact of institutional investor network on the efficiency of capital market by using the social network analysis method.The results show that institutional investor network can improve the synchronicity of stock price and reduce the pricing efficiency of capital market.Therefore,institutional investors do not play apositive role in stabilizing the market,and even driven by social networks,the negative effect on the market is greater.Secondly,the institutional investor network will enhance the synchronicity of stock prices in enterprises with backward economic development,political background and low level of internal governance.Thirdly,higher network centrality of institutional investors will improve the synchronicity of stock prices,which will have a greater negative impact on the capital market.Fourthly,the institutional investor network can increase the market volatility and improve the synchronicity of stock prices by triggering the herd behavior of institutional investors.Meanwhile,institutional investors collude with the management through social networks to reduce the transparency of corporate information,resulting in insufficient information content of stock prices.Finally,the institutional investor network significantly improves stock price synchronicity in a bear stock market,but when stock prices are rising,the effect is not significant.
作者
何瑛
马珂
HE Ying;MA Ke(School of Economics and Management,Beijing University of Posts and Telecommunications,Beijing 100876,China)
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2020年第3期35-52,共18页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
基金
国家自然科学基金项目(71302124)
教育部人文社会科学基金项目(19YJA630025).
关键词
机构投资者网络
股价同步性
羊群行为
信息透明度
institutional investor network
stock price synchronicity
institutional investor herding
information transparency
