基于基尼系数法的中国机构投资者抱团现象对股市波动的影响研究  

A study on the impact of Chinese institutional investors clustering on stock market volatility based on Gini Coefficient method

作　　者：邱冬阳 甘珈蔚 QIU Dongyang;GAN Jiawei(School of Economics and Finance,Chongqing University of Technology,Chongqing 400054,China)

机构地区：[1]重庆理工大学经济金融学院,重庆400054

出　　处：《重庆理工大学学报（社会科学）》2024年第5期55-73,共19页Journal of Chongqing University of Technology（Social Science）

基　　金：国家社会科学基金重点项目“基于大数据+深度学习的中国金融市场波动性及预警机制研究”(17AJY028);重庆理工大学研究生创新项目“机构投资者抱团与股市波动的关系研究”(gzlcx20222074)。

摘　　要：为探究市场层面机构抱团现象对股市波动的影响,选取2004年第2季度—2020年第4季度A股上市公司数据,创新性地运用基尼系数法构造机构持股市场集中度和机构数市场集中度测算市场层面机构投资者抱团现象指标,实证研究机构投资者抱团对股票市场波动的影响。研究发现:(1)机构抱团与股市波动负相关,且机构持股抱团指标更显著;(2)熊市中机构抱团发挥的稳定市场作用明显强于牛市;(3)机构抱团存在行业异质性特征,在制造业,水利、环境和公共设施管理业,采矿业,租赁和商务服务业中机构抱团稳定了股市,而在电力、热力、燃气及水生产和供应业,房地产业中起到了推波助澜的作用;(4)机构投资者在面临经济政策不确定性较高的情况下,机构抱团一定程度上有利于市场稳定。结合研究结论提出机构投资者要遵循自身投资理念和投资风格,严禁主观抱团操纵市场。In recent years,with the rapid development of intelligent quantitative investment advisors,the phenomenon of institutional investor grouping is more and more obvious.It is not only due to the communication and cooperation among a few institutions,but also may be due to the fact that they employ same quantitative algorithms and similar investment styles.Therefore,a number of institutions pursue the convergence of investment strategies,and a new type of grouping phenomenon come into being.The essence of the new grouping in the new era is the centralized investment behavior of institutional investors,so the article uses the Gini coefficient method to calculate the index of institutional investor grouping at the market level from the degree of concentration.In the stock market,a number of institutions hold the shares together,and the retail investors follow them competitively to promote the rise of the share price of the group shares,and the stock market further shows its law that the strong are always strong,whereas the weak are always weak,which brings uncertainty to China's capital market,and ultimately push the whole stock market into tumble and fluctuate.Therefore,it is meaningful to try to study the group hugging of institutional investors and its impact on stock market volatility.Meanwhile,frequent changes in economic policies not only affect corporate value,but also impact the investment expectations of market participants,which is ultimately transmitted to the entire stock market.Therefore,the article further examines the impact of economic policy uncertainty on the relationship between institutional investor group hugging and stock market volatility.This paper tries to redefine and remeasure the institutional investor grouping,and analyzes the mechanism of institutional investor grouping on stock market volatility based on the theory of herd effect,governance and supervision effect,and industry integration power,etc.Then,the A-share listed companies from the second quarter of 2004 to the fourth quarter of 2

关 键 词：机构投资者抱团 股市波动 基尼系数 集中度 

分 类 号：F832.5[经济管理—金融学]