指数基金持股会加剧股价同涨同跌吗?

Does Index Fund Holding Increase Stock Price Synchronicity?

作为近年来资本市场的重要参与者,指数基金对市场的影响一直受到广泛关注。本文以2003-2019年我国A股上市公司作为研究样本,考察指数基金持股率对市场股票价格的影响。研究结果表明指数基金持股率的增长会提升股价同步性,最终引发股价崩盘风险,且指数基金持股不仅会降低分析师关注度,而且会抑制市场中活跃交易者获取信息的动机。本文的研究对于理解指数基金持股在我国资本市场中的作用以及如何减少股价同涨同跌现象、稳定资本市场有着一定的参考价值。

Taking Chinese A-share listed companies from 2003 to 2019 as the sample,this paper analyses the effects of index fund holding on price synchronicity in China s stock market.It finds that the rise in the proportion of index fund holding improves the stock price synchronicity and increases the risk of stock price collapse.Index fund holding not only reduces the attention of analysts,but also cuts down active traders motivation of information acquisition.The conclusion can help understanding the role of index funds in China s capital market and contribute to the stability of the market.