机构投资者信息竞争与股价崩盘风险

Institutional Investor Competition over Information and Stock Price Crash Risk

由于知情交易收益的对立,机构投资者之间存在信息竞争并由此产生差异化的积极主义行为与交易行为,因此信息竞争最终会影响到公司股价的崩盘风险。本文用机构投资者股权分布均衡程度衡量信息竞争,基于中国A股市场2008-2014年数据的实证分析表明:机构投资者信息竞争与股价崩盘风险之间呈现正向关系,即机构投资者的信息竞争行为可能会加大股价崩盘风险;基于机构投资者持股稳定性的分析也表明,信息竞争的公司治理途径相对于交易行为途径对股价崩盘产生了更大影响;在控制内生性以及其他稳健性检验中本文结论依然成立。本文结论扩展了机构投资者与股价稳定关系的相关研究,为监管部门制定相关市场稳定政策提供了新视角。

Most of the research on institutional investors is based on the total shareholding ratio of institutional investors. These studies have three problems. The first is that the total shareholding ratio doesn＇t consider the problem of collective action of institutional investors. The second is that the total shareholding ratio can＇t measure the trading profit of institutional investors＇ shareholder activism. And the last is that the total shareholding ratio doesn＇t truly reflect the influence of liquidity. These problems will lead to ambiguity of the mechanism that the institutional investors impact on the share price. Due to the opposition of the profit of informed trading, there is information competition among institutional investors and thus produce differentiated shareholder activism and transaction. So information competition among institutional investors will eventually affect the company＇s share price and crash risk. In this paper, the equilibrium degree of institutional investors＇ equity distribution is used to measure the information competition among institutional investors. The empirical analysis based on the data of China＇s Category ＇A＇ share market in 2008-2014 indicates that institutional investor＇s information competition and stock price crash risk presents a positive relationship. That is, the information competition behavior of institutional investors may increase the crash risk of stock price. Because of the importance of stability of institutional investor＇s shareholding, our analysis also shows that the corporate governance approach of information competition has a greater impact on stock price crash risk. Lastly, the relationship proves to be true in the endogenous test and in other robustness tests. But we don＇t find significant relationship between information competition and crash risk when we use the data of 2015. The conclusion of this paper extends the research on the relationship between institutional investors and stock price stability. Because of information concentration, the large institutional investors have some positive effect. The study also provides a new perspective for the regulatory authorities to develop relevant market stabilization policy.