信息互动、投资决策与股票价格——基于机构投资者信息网络的分析  

Information Interaction,Investment Decisions,and Stock Prices:Analysis Based on Institutional Investor Information Networks

作　　者：郭白滢[1] 周任远 GUO Baiying;ZHOU Renyuan(School of Economics,East China Normal University;School of Business,Shanghai University of Finance and Economics)

机构地区：[1]华东师范大学经济学院,上海200241 [2]上海财经大学商学院,上海200433

出　　处：《金融研究》2019年第10期188-206,共19页Journal of Financial Research

基　　金：国家社科基金一般项目(19BGL106);国家自然科学基金项目(71602057);上海市哲学社会科学规划一般课题(2019BGL039)的资助

摘　　要：机构投资者之间存在着广泛的信息互动,其中包括信息共享与社会学习。本文基于2005-2018年我国A股市场与公募证券投资基金市场数据,应用社会关系网络理论实证分析了信息互动对于基金持仓决策以及股票市场价格的影响。结果表明:(1)信息互动对于基金持仓决策具有显著影响,且在不同决策情景与市场行情下其影响具有差异;(2)基金信息互动的影响可以分为"同城效应"和"异地效应",不同城市的两种效应存在显著差异,并且不同城市基金的市场影响力也有所不同;(3)基金信息互动通过提高市场定价效率对于股价长期特质波动具有降低作用。本文基于社会关系网络理论分析了私有信息在机构投资者之间传播产生的影响,为认识机构投资者决策行为与股票市场价格异象提供了新的维度。Institutional investors often share information with and learn from others in the market. This information interaction promotes the dissemination of private information among investors, and can directly affect their decision-making and asset pricing. Thus, research on the impact and mechanism of the information interaction among investors can help explain the behavior of institutional investors and some of the anomalies in asset pricing. Based on social network theory, this paper empirically analyzes how the information interaction between funds influences their decision-making and stock pricing.First, this paper uses Pareek’s(2009) method to establish the fund information networks. Specifically, if two funds are heavy holders of the same shares, they are deemed to be "connected." In this way, all of the funds connected to a fund constitute its information network. An information network is a typical social network based on the exchange of information, which can be regarded as the scope and medium of the information interaction. Second, we examine the relationship between the position decision-making of funds and that of the members of their information networks. This relationship can be considered to reflect the influence of the information interaction in controlling public information. We further consider whether the effects of the information interaction under different decision-making scenarios and market situations are significant and different. We then divide the effects of the information interaction into the effects in the same city and different cities, and test whether there are any significant differences. Finally, we test whether the effects of the information interaction vary in terms gender, length of service of fund managers, and size of the information networks. In addition, we build a stock information network based on the fund information network to study how the information interaction affects the stock pricing. A stock’s information network is composed of all of the funds that are heavy ho

关 键 词：机构投资者 基金 信息网络 信息互动 

分 类 号：F83[经济管理—金融学]