机构投资者的群体性交易行为及其对市场的影响--基于股票信息网络的分析

Institutional Investors'Group Trading Behavior and Its Influence on the mar‐ket:Based on the Analysis of Stock Information Network

股票信息网络是基金管理者的重要信息来源,在其影响下基金管理者的交易行为往往趋于一致,进而对股票市场产生显著影响。本文根据基金经理的主要投资标的构建股票信息网络,结合2000-2020年我国A股市场的相关数据,对“信息网络——基金经理——市场”这一影响传播链条进行探究。研究发现:(1)股票信息网络的结构性特征将影响市场股价的变化,而基金经理群体性的交易行为在其中起到中介作用;(2)市场的变化也会反过来影响处于同一信息网络中的基金经理的群体性交易行为;(3)无论是股票信息网络还是市场对基金经理群体性交易行为的影响,本质都是通过影响基金经理在信息网络中分享和接受信息的程度来影响群体性交易行为。

Stock information network is an important source of information for fund managers.Under its influence,the trading behavior of fund managers tends to be consistent,which will significantly affects the stock market.Based on the main investment targets of fund managers,this paper constructs a stock information network,combines the relevant data of China capital market from 2000 to 2020,and explores the influence communication chain of"Information net‐work--Fund manager--Market".The results show that:(1)The structural characteristics of the stock information net‐work will affect the change of stock prices,and the collective trading behavior of fund managers plays a mediating role in the change of stock prices;(2)Market changes will also affect the collective trading behavior of fund managers in the same information network;(3)In essence,both the stock information network and the market influence the group trading behavior of fund managers by influencing the extent to which fund managers share and accept information in the informa‐tion network.