机构投资者信息共享与股价崩盘风险——基于社会关系网络的分析  

Institutional Investors Information-Sharing and Stock Crash Risk

作　　者：郭白滢[1] 李瑾 GUO Bai-ying;LI Jin(School of Economics,East China Normal University,Shanghai,200241,China;Shanghai Environment and Energy Exchange,Shanghai,200083,China)

机构地区：[1]华东师范大学经济学院,上海200241 [2]上海环境能源交易所,上海200083

出　　处：《经济管理》2019年第7期171-189,共19页Business and Management Journal ( BMJ )

基　　金：上海市哲学社会科学规划青年课题“网络社会的功能解构与管理优化:基于网络博弈的分析”(2013EGL005);国家自然科学基金项目“股权质押、大股东行为及其经济后果”(71602057)

摘　　要：机构投资者之间除了信息竞争,在很多情况下还会选择共享信息。信息共享提高了市场定价效率,从而对于股价崩盘风险具有重要影响。本文采用社会关系网络结构变量来衡量信息共享效率,基于2004—2017年我国A股市场与公募证券投资基金数据对于机构投资者之间的信息共享对于股价崩盘风险的影响进行了实证检验。研究表明:机构投资者信息共享降低了股价崩盘风险,市场定价效率的提升是其中重要的作用路径;随着机构投资期限的延长,信息共享降低股价崩盘风险的作用将得到增强;机构投资者之间的信息共享提高了股价的短期特质波动,降低了股价的长期特质波动。本文从社会关系网络的视角探讨了私有信息及其传播对于机构投资者决策以及股价的影响,为股价崩盘风险影响因素研究提供了新的视角。There is not only information competition among institutional investors,but also cooperation,which is particularly common for transactional institutional investors,such as public securities investment funds.Information sharing can improve the pricing efficiency for the market,which could eliminate information asymmetry between managements and investors to a certain extent.So it could reduce the crash risk for individual stock.The social network between the investors is the main way to obtain private information for them.Investors usually actively acquire information through social relations when making decisions.Much survey and empirical research show that the institutional investors who hold the same shares massively would like share information.So we assume that there are private information exchanges between the funds holding the same shares in heavy positions.This paper measures the efficiency for information sharing by the structural characteristic variables of social network,such as degree centrality,density,and cluster.Based on the data of China A-share market and public securities investment funds from 2004 to 2017,it makes an empirical analysis on the relationship between information sharing and the crash risk for individual stock.The main conclusions are as follows:Firstly,there is a significant positive correlation between information sharing and pricing efficiency for the market,which implies information sharing between institutional investors maybe promote the pricing efficiency.Meanwhile there is a significant negative correlation between information sharing and crash risk,that is,information sharing may reduce the crash risk.Moreover,market pricing efficiency is an important intermediary variable between them.This may be because the information sharing improves the comprehensiveness,accuracy and instantaneity of information for the market.Secondly,with the extension of investment term,the role of information sharing in reducing the crash risk will be strengthened.This may be due to the fact that in

关 键 词：机构投资者 信息共享 市场定价效率 股价崩盘风险 

分 类 号：F830.91[经济管理—金融学]