机构投资者团体性行为对股票市场的影响研究  

Study on the Impact of Institutional Investor Group Behavior on the Stock Market

作　　者：王昕 王聪[2] 沈德芳 WANG Xin;WANG Cong;SHEN Defang(The Third People's Hospital of Yunnan Province,Kunming,Yunnan 650011;School of economics and management,Taiyuan University of Technology,Taiyuan,Shanxi 030600)

机构地区：[1]云南省第三人民医院,云南昆明650011 [2]太原理工大学经济管理学院,山西太原030024

出　　处：《管理现代化》2023年第4期56-64,共9页Modernization of Management

基　　金：山西省软科学重点研究项目“新型研发机构发展模式及发展对策研究”(2018042025-1)。

摘　　要：本文以2012-2021年我国A股上市公司为研究对象,采用Louvain算法近似提取了机构投资者团体,构建多维线性回归模型,从微观层面考察了机构投资者团体性行为对股票市场的影响。研究发现,机构团体更关注股票的长期价值,能够促进信息融入股价,同时有效抑制股票价格波动。机制分析得到信息透明度在上述关系中呈部分中介作用;异质性研究表明,企业生命周期、所处地域及产权性质均对机构投资者团体性行为与股票市场的关系有差异化影响。最后,依据上述研究结论,本文从监管方和企业方分别提出相关政策建议。This paper examines the impact of institutional investor group behaviour on the stock market at the micro level by using the Louvain algorithm to approximate the extracted institutional investor groups and constructing a multidimensional linear regression model for the period 2012-2021 for A-share listed companies in China.The study finds that institutional groups are more concerned with the long-term value of stocks and can facilitate the integration of information into stock prices,while effectively dampening stock price volatility.Mechanistic analysis shows that information transparency partially mediates this relationship,and heterogeneity suggests that firm life cycle,geographic location and ownership type have different effects on the relationship between institutional investor group behaviour and the stock market.Finally,based on the above findings,this paper proposes relevant policy recommendations from both the regulatory and the corporate side.

关 键 词：机构投资者团体 Louvain算法 股票价值信息 信息透明度 

分 类 号：F832[经济管理—金融学]