制度层面的影响对资产出售和价格效率是良性的

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2025-09-01 DOI:10.1016/j.finmar.2025.100987

Yinghua Fan , Guanhao Feng , Xiao Qiao , Sayad Baronyan

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引用次数: 0

摘要

我们构建了两种类型的交易冲击，并检验了它们对股票价格的影响。共同冲击捕捉的是各基金的共同交易活动，而细微的特殊冲击则强调大型参与者。与股票销售相关的普通冲击对价格的影响明显强于与购买相关的冲击，与颗粒状特殊冲击对购买和销售的对称影响形成对比。最初的价格影响在短期内持续存在，并在6个月后部分逆转，表明对机构交易的反应不足。我们的研究结果强调了不同基金的共同成分对资产价格和市场效率的影响。

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Institutional granular impact is benign on asset sales and price efficiency

We construct two types of trading shocks and examine their effects on stock prices. Common shocks capture the shared trading activity across funds, whereas granular idiosyncratic shocks place emphasis on large players. Common shocks related to stock sales exhibit a significantly stronger price impact than those related to purchases, in contrast to symmetric effects of purchases and sales for granular idiosyncratic shocks. The initial price impact persists in the short run and partially reverses after six months, suggesting underreaction to institutional trading. Our results underscore the impact of the common component across various funds on asset prices and market efficiency.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.