Do Institutional Investor Cliques Undermine Stock Price Efficiency?

IF 2.9 2区 经济学 Q1 ECONOMICS
Hai Jiang, Shuangyi Chen, Zifeng Wang
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Abstract

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.

机构投资者集团会破坏股价效率吗?
本文研究了机构投资者集团对股票价格效率的影响。使用社区网络算法,它确定了机构投资者的集团,并发现它们显著地破坏了中国的股价效率。这一发现的稳健性是通过一系列方法来证明的,包括因变量的替换、估计方法的改变、极端市场时期的数据排除以及工具变量的应用。机构投资者集团在降低市场效率方面的作用归因于市场投机。在股票流动性低、信息披露差、散户恐慌加剧的环境下,拉帮结派对效率的不利影响会加剧。然而,监管干预,如询问信,被证明可以减轻这些影响并提高市场效率。这些发现突出了机构投资者集团影响新兴市场经济体的意想不到的方式,并强调了有效监管对保障市场效率的至关重要性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
4.70
自引率
12.90%
发文量
391
期刊介绍: The bi-monthly China & World Economy was launched in 1993 by the Institute of World Economics and Politics, Chinese Academy of Social Sciences (CASS). It is the only English-language journal in China devoted to the topic of the Chinese economy. The journal aims to provide foreign readers with an objective, impartial, analytical and up-to-date account of the problems faced and progress made by China in its interaction with the world economy. Among its contributors are many distinguished Chinese economists from both academic and government circles. As such, it has become a unique window on China and is essential reading for all those concerned with China"s development.
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