Do Institutional Investor Cliques Undermine Stock Price Efficiency?  

作　　者：Hai Jiang Shuangyi Chen Zifeng Wang 

机构地区：[1]School of Economics,Jinan University,China [2]Dongguan Academy of Social Sciences,China

出　　处：《China & World Economy》2025年第1期223-258,共36页中国与世界经济(英文版)

基　　金：support from the National Social Science Fund of China(No.23AZD024);the National Natural Science Foundation of China(No.71973053).

摘　　要：This study investigates the effects of institutional investor cliques on stock price efficiency. Using a community network algorithm, it identifies cliques of institutional investors and finds that they significantly undermined stock price efficiency in China. The robustness of this finding is demonstrated through a range of methodologies, including the substitution of dependent variables, the alteration of estimation methods, the exclusion of data from extreme market periods, and the application of instrumental variables. The role of institutional investor cliques in diminishing market efficiency is attributed to market speculation. The detrimental effect of cliques on efficiency is exacerbated in environments characterized by low stock liquidity, poor information disclosure, and heightened panic among retail investors. However, regulatory interventions, such as inquiry letters, are shown to mitigate these effects and enhance market efficiency. These findings highlight the unexpected ways institutional investor cliques can influence emerging market economies and underscore the critical importance of effective regulation to safeguard market efficiency.

关 键 词：emerging market economics institutional investor clique stock price efficiency 

分 类 号：F832.51[经济管理—金融学]