文档摘要：为探究市场层面机构抱团现象对股市波动的影响,选取2004年第2季度—2020年第4季度A股上市公司数据,创新性地运用基尼系数法构造机构持股市场集中度和机构数市场集中度测算市场层面机构投资者抱团现象指标,实证研究机构投资者抱团对股票市场波动的影响.研究发现:(1)机构抱团与股市波动负相关,且机构持股抱团指标更显著;(2)熊市中机构抱团发挥的稳定市场作用明显强于牛市;(3)机构抱团存在行业异质性特征,在制造业,水利、环境和公共设施管理业,采矿业,租赁和商务服务业中机构抱团稳定了股市,而在电力、热力、燃气及水生产和供应业,房地产业中起到了推波助澜的作用;(4)机构投资者在面临经济政策不确定性较高的情况下,机构抱团一定程度上有利于市场稳定.结合研究结论提出机构投资者要遵循自身投资理念和投资风格,严禁主观抱团操纵市场.
Abstract：Inrecentyears,withtherapiddevelopmentofintelligentquantitativeinvestmentadvisors,thephenomenonofinstitutionalinvestorgroupingismoreandmoreobvious.Itisnotonlyduetothecommunicationandcooperationamongafewinstitutions,butalsomaybeduetothefactthattheyemploysamequantitativealgorithmsandsimilarinvestmentstyles.Therefore,anumberofinstitutionspursuetheconvergenceofinvestmentstrategies,andanewtypeofgroupingphenomenoncomeintobeing.Theessenceofthenewgroupingintheneweraisthecentralizedinvestmentbehaviorofinstitutionalinvestors,sothearticleusestheGinicoefficientmethodtocalculatetheindexofinstitutionalinvestorgroupingatthemarketlevelfromthedegreeofconcentration.Inthestockmarket,anumberofinstitutionsholdthesharestogether,andtheretailinvestorsfollowthemcompetitivelytopromotetheriseofthesharepriceofthegroupshares,andthestockmarketfurthershowsitslawthatthestrongarealwaysstrong,whereastheweakarealwaysweak,whichbringsuncertaintytoChina'scapitalmarket,andultimatelypushthewholestockmarketintotumbleandfluctuate.Therefore,itismeaningfultotrytostudythegrouphuggingofinstitutionalinvestorsanditsimpactonstockmarketvolatility.Meanwhile,frequentchangesineconomicpoliciesnotonlyaffectcorporatevalue,butalsoimpacttheinvestmentexpectationsofmarketparticipants,whichisultimatelytransmittedtotheentirestockmarket.Therefore,thearticlefurtherexaminestheimpactofeconomicpolicyuncertaintyontherelationshipbetweeninstitutionalinvestorgrouphuggingandstockmarketvolatility.Thispapertriestoredefineandremeasuretheinstitutionalinvestorgrouping,andanalyzesthemechanismofinstitutionalinvestorgroupingonstockmarketvolatilitybasedonthetheoryofherdeffect,governanceandsupervisioneffect,andindustryintegrationpower,etc.Then,theA-sharelistedcompaniesfromthesecondquarterof2004tothefourthquarterof2020areselectedastheresearchobjects,andtheGinicoefficientisusedtocalculatethemarketconcentrationofinstitutionalinvestorholdingsandthemarketconcentrationofinstitutionalinvestors'shareholdings.TheGinicoefficientmethodisusedtocalculatethemarketconcentrationofinstitutionalinvestors'shareholdingandthemarketconcentrationofinstitutionalinvestors'numberofinstitutionstomeasurethedegreeofinstitutionalinvestors'grouphuggingatmarketlevel.Inthefurtheranalysis,aheterogeneitytestiscarriedoutforthesituationofsub-marketandsub-industry.Finally,basedontheresultsofthemainregressionstudy,weconstructatheoreticalframeworkformoderatingtherelationshipbetweeninstitutionalinvestorgroupingandstockmarketvolatilityandtestitsmoderatingeffect.Themainresultsofthestudyshowthat:first,thegrouphuggingofinstitutionalinvestorsshowscertainseasonalcharacteristicsandeconomicboomcharacteristics.Thegrouphuggingofinstitutionalinvestorsismoresignificantinthesecondandfourthquarters;atthesametime,thedegreeofgrouphuggingisrelativelylowwhenthemacroeconomicsituationisgoodandrelativelyhighwhentheeconomyisinthedoldrums.Secondly,theholdingbehaviorofinstitutionalinvestorsissignificantlynegativelycorrelatedwiththevolatilityofthestockmarket,whichisconducivetothestabilityofthestockmarket.Amongthem,thenegativeimpactofinstitutionalgrouphuggingonstockmarketvolatilitymeasuredbasedonthemarketconcentrationofinstitutionalholdingsismoresignificant.Thirdly,institutionalinvestorsgroupindifferentmarketconditionshaveplayedapositiveroleinstabilizingthemarket,whichinthebearmarkettowarmuptheroleofthegroupismoreobvious.Institutionalgrouppossessesobviousindustryheterogeneitycharacteristics,thatinmanufacturingindustry,suchasliquor,newenergy,medical,waterconservancy,environmentandpublicfacilitiesmanagementindustry,mining,leasingandbusinessservicesstabilizedthestockmarket;whileinthepower,heat,gasandwaterproductionandsupplyindustry,theinstitutionalgrouphasasignificantnegativeimpactonstockmarketvolatility,whichismeasuredbasedonthemarketconcentrationofinstitutionalholdings.Electricity,heat,gasandwaterproductionandsupplyindustry,realestatehaveplayedaroleinpushingthewaves,andintheindustrywithhighinvestment,longcycle,long-termreturns,institutionalgroupsplayamoreimportantrole.Fourthly,inthecaseofhigheconomicpolicyuncertainty,thegroupingofinstitutionalinvestorshasagreaterstabilizingeffectonthestockmarket.Inaddition,accordingtotheresultsofthestudyandthespecificreality,afewinsightsaredrawn.First,ordinaryinvestorscanusetheinvestmenttargetsofinstitutionalinvestorsasabridgetoparticipateinvalueinvestmentandqualitycompanies,andthenguidetheflowofmarketcapital,sothatthecapitalcangatherhigh-qualityassetsandoptimizetheallocationofmarketresources.Secondly,institutionalinvestorsshouldadheretotheirowninvestmentstyle,standardizeinvestmentbehavior,avoidexcessiveparticipationinthecompany'soperations.Thirdly,thegovernmentshouldstrengthensupervision,improvepolicytransparency,advocateinstitutionalinvestmentbehaviorandeconomicpolicyuncertaintytoreduceshort-sightedbehavior.
作者：邱冬阳 甘珈蔚Author：QIUDongyang GANJiawei
作者单位：重庆理工大学经济金融学院,重庆400054
刊名：重庆理工大学学报 PKU
Journal：JournalofChongqingInstituteofTechnology
年，卷(期)：2024, 38(10)
分类号：F832.5
关键词：机构投资者抱团 股市波动 基尼系数 集中度
Keywords：institutionalinvestorsclustering stockmarketvolatility GiniCoefficient concentrationrate
机标分类号：F294R53F832.51
在线出版日期：2024年7月12日
基金项目：国家社会科学基金，重庆理工大学研究生创新项目基于基尼系数法的中国机构投资者抱团现象对股市波动的影响研究[
期刊论文] 重庆理工大学学报--2024, 38(10)邱冬阳 甘珈蔚为探究市场层面机构抱团现象对股市波动的影响,选取2004年第2季度—2020年第4季度A股上市公司数据,创新性地运用基尼系数法构造机构持股市场集中度和机构数市场集中度测算市场层面机构投资者抱团现象指标,实证研究机构投...参考文献和引证文献
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关键词：机构投资者抱团,股市波动,基尼系数,集中度,
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