基金家族共同持股:市场结构与定价效率  

Joint Ownership in Fund Families: Pricing Efficiency and Market Structure

作　　者：郭白滢[1] 易苗 刘朋春 Guo Baiying;Yi Miao;Liu Pengchun(School of Economics,East China Normal University,Shanghai 200062,China)

机构地区：[1]华东师范大学经济学院,上海200062

出　　处：《金融经济学研究》2022年第5期49-61,共13页Financial Economics Research

基　　金：上海市哲学社会科学面上项目(2019BGL039)。

摘　　要：基金家族是介于基金个体与市场之间的重要组织形式之一,也是资本市场主要的决策主体。基于2005—2021年沪深两市A股上市公司股票以及公募证券投资基金数据,从广度与深度对持股基金市场进行解构,由此检验持股基金市场结构对于定价效率的影响,研究发现,“扁平型”的持股基金市场结构对应股票市场更高的股价同步性与更低的信息融入速度。持股基金市场的广度与深度对股价同步性的影响具有双重门槛效应,而对信息融入速度的影响仅有单一门槛效应。随着持股基金家族之间规模差异的增大,股价同步性提高,信息融入速度降低。因此,相关部门可以通过对持股基金市场结构的监控与管理,引导与促进基金家族之间“适度”与“平衡”竞争关系的形成,从而实现市场定价效率的提升。One of the most important forms of organization between individual funds and the market, as well as the primary decision-maker in capital markets, is the fund family.This study deconstructed ownership in the fund market in terms of breadth and depth using data from A-share listed companies and public securities investment funds in Shanghai and Shenzhen from 2005 to 2021,and thus examined the effect of ownership structure in the fund market on pricing efficiency.According to this study, a “flat” ownership structure in the fund market correlates with higher stock price synchronicity and a slower rate of information integration.The breadth and depth of fund ownership have a double threshold effect on stock price synchronicity but a single threshold effect on information integration speed.As the size difference between fund families grows, stock price synchronicity increases, while the speed of information integration decreases.As a result, through the supervision and management of ownership structure in the fund market, relevant departments can guide and facilitate the formation of “moderate” and “balanced” competition between fund families, thereby improving market pricing efficiency.

关 键 词：基金家族 共同持股 定价效率 基金市场结构 

分 类 号：F832.5[经济管理—金融学]