机构投资者信息共享与股价同步性——基于社会关系网络的分析

Institutional Investor Information Sharing and Stock Price Synchronicity:Analysis Based on Social Networks

利用2004~2017年中国A股市场以及公募证券投资基金市场数据,采用社会网络分析法对机构投资者信息共享与股价同步性之间的关系进行了实证分析。研究表明,机构投资者信息共享与股价同步性之间呈现负相关关系,信息共享能够降低股价同步性;机构投资者信息共享降低了市场整体的股价同步性,即二者之间的关系在市场层面同样成立;在市场处于上升阶段(牛市)时,机构投资者信息共享降低了股价同步性;而在市场处于下跌阶段(熊市)时,机构投资者信息共享提高了股价同步性。基于此,监管当局应关注处于"核心"地位的机构投资者的信息传播对市场稳定的作用,加强对其监管;此外,机构投资者可将社会关系网络的结构特征变量作为策略制定的参考。

Using data from China＇s A-share market and the public offering securities investment fund market from 2004 to 2017,this study used the social network analysis method to empirically analyze the relationship between institutional investor information sharing and stock price synchronicity. The results indicated a negative correlation between institutional investor information sharing and stock price synchronicity;thus,information sharing reduces stock price synchronicity. As institutional investor information sharing reduces the overall stock price synchronicity of the market,the relationship between the two variables was also established at the market level. When the market is rising（ bull market）,institutional investor information sharing reduces stock price synchronicity,but when the market is falling（ bear market）,it increases stock price synchronicity. Hence,supervisory authorities should also examine the role of information dissemination among ＂core＂institutional investors in maintaining market stability and strengthening market supervision. In addition,institutional investor can take the structural characteristic variables of social network as the reference for strategy formulation.