外国机构投资者撤资的股价溢出效应：贝莱德关闭中国灵活股票基金的证据

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2024-10-22 DOI:10.1016/j.irfa.2024.103694

Changchun Pan , Yuhang Song , Long Jin

{"title":"外国机构投资者撤资的股价溢出效应：贝莱德关闭中国灵活股票基金的证据","authors":"Changchun Pan , Yuhang Song , Long Jin","doi":"10.1016/j.irfa.2024.103694","DOIUrl":null,"url":null,"abstract":"<div><div>This study investigates the impact of BlackRock's September 7, 2023, announcement to close the China Flexible Equity fund on Chinese A-share listed firms held by foreign institutional investors (FIIs). Using event study methodology, we find that the cumulative abnormal return (CAR) of these firms significantly decreases around the announcement date. The decline is attributed to investor concerns about the absence of original governance structures and pessimistic sentiments driven by representativeness bias. The effect is more pronounced in firms with overseas business, weaker investor protection, and overvalued stocks. Our findings provide insights into the influence of FIIs on capital market stability amid global financial movements.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"96 ","pages":"Article 103694"},"PeriodicalIF":7.5000,"publicationDate":"2024-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Stock price spillovers from foreign institutional investor divestment: Evidence from BlackRock's closure of the China Flexible Equity Fund\",\"authors\":\"Changchun Pan , Yuhang Song , Long Jin\",\"doi\":\"10.1016/j.irfa.2024.103694\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>This study investigates the impact of BlackRock's September 7, 2023, announcement to close the China Flexible Equity fund on Chinese A-share listed firms held by foreign institutional investors (FIIs). Using event study methodology, we find that the cumulative abnormal return (CAR) of these firms significantly decreases around the announcement date. The decline is attributed to investor concerns about the absence of original governance structures and pessimistic sentiments driven by representativeness bias. The effect is more pronounced in firms with overseas business, weaker investor protection, and overvalued stocks. Our findings provide insights into the influence of FIIs on capital market stability amid global financial movements.</div></div>\",\"PeriodicalId\":48226,\"journal\":{\"name\":\"International Review of Financial Analysis\",\"volume\":\"96 \",\"pages\":\"Article 103694\"},\"PeriodicalIF\":7.5000,\"publicationDate\":\"2024-10-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Review of Financial Analysis\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1057521924006264\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521924006264","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

本研究探讨了贝莱德于 2023 年 9 月 7 日宣布关闭中国灵活股票基金对外国机构投资者（FII）持有的中国 A 股上市公司的影响。利用事件研究方法，我们发现这些公司的累计异常收益率（CAR）在公告日前后显著下降。这种下降归因于投资者对原有治理结构缺失的担忧和代表性偏差导致的悲观情绪。这种影响在有海外业务、投资者保护较弱以及股票估值过高的公司中更为明显。我们的研究结果让我们深入了解了在全球金融动荡中外国直接投资对资本市场稳定性的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Stock price spillovers from foreign institutional investor divestment: Evidence from BlackRock's closure of the China Flexible Equity Fund

This study investigates the impact of BlackRock's September 7, 2023, announcement to close the China Flexible Equity fund on Chinese A-share listed firms held by foreign institutional investors (FIIs). Using event study methodology, we find that the cumulative abnormal return (CAR) of these firms significantly decreases around the announcement date. The decline is attributed to investor concerns about the absence of original governance structures and pessimistic sentiments driven by representativeness bias. The effect is more pronounced in firms with overseas business, weaker investor protection, and overvalued stocks. Our findings provide insights into the influence of FIIs on capital market stability amid global financial movements.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.