机构投资者抱团如何影响股票市场?——基于网络团体的视角  

How Does the Herding of Institutional Investors Affect the Stock Market?--From the Perspective of Network Groups

作　　者：韩宁远 尹中立[2] HAN Ningyuan;YIN Zhongli

机构地区：[1]中国社会科学院大学应用经济学院,北京102488 [2]中国社会科学院金融研究所,北京100710

出　　处：《商业经济》2024年第12期53-57,共5页Business & Economy

基　　金：中国社会科学院大学(研究生院)研究生科研创新支持计划项目:机构投资者抱团与股票市场表现——基于A股市场的证据(2024-KY-091)。

摘　　要：一只股票有多个机构持仓不能被简单地认定为抱团投资。目前市场主体对抱团的衡量标准更多以持仓机构多寡进行判断,且仅限于对少数明星股和明星行业的有限关注。基于网络团体的视角,以2007—2023年A股市场机构投资者的季度持股数据为研究样本,使用Louvain算法从机构投资者网络中提取出机构投资者团体,通过标准化识别对全市场的机构投资者抱团程度进行了衡量。结果显示被抱团公司数量近十年来基本稳定,但其数量占全部股票比例近十年来不断下滑,说明机构投资者认为值得“抱团”投资的标的数量有限。实证结果表明机构投资者抱团行为虽然能推动市场指数上行,但是其抱团程度的剧烈变动会对市场产生显著负面影响。因此,需进一步对机构业绩考核机制加以改良,加大监管层审查力度,改善上市公司经营管理,同时畅通市场循环机制,以维护股票市场功能的进一步发挥和完善。Multiple institutional holdings of a stock cannot be simply regarded as herding investment.Currently,market participants mostly judge herding based on the number of holding institutions,and the attention is limited to a few star stocks and star industries.From the perspective of network groups,taking the quarterly shareholding data of institutional investors in the A-share market from 2007 to 2023 as the research sample,the Louvain algorithm is used to extract institutional investor groups from the institutional investor network,and the degree of herding of institutional investors in the whole market is measured through standardized identification.The results show that the number of herded companies has been basically stable in the past decade,but its proportion to the total number of stocks has been declining in the past decade,indicating that institutional investors believe that the number of targets worthy of"herding"investment is limited.Empirical results show that although the herding behavior of institutional investors can promote the upward movement of the market index,drastic changes in the degree of herding will have a significant negative impact on the market.Therefore,it is necessary to further improve the institutional performance evaluation mechanism,strengthen the supervision layer's review intensity,improve the operation and management of listed companies,and at the same time,smooth the market circulation mechanism to maintain the further play and improvement of the functions of the stock market.

关 键 词：机构投资者 抱团行为 网络团体 Louvain算法 

分 类 号：F832.51[经济管理—金融学]