基金持股网络对股价波动的影响——来自中国A股市场的证据

The Impact of Fund Shareholding Networks on Stock Price Volatility——Evidence from China’s A-share Market

信息网络理论认为,网络成员的行为会受到所“嵌入”的信息网络的影响,个体在网络中的信息优势也会影响到个体的表现。基于此,本文采用2016—2022年的基金季度持股数据构建基金持股网络,考察了网络信息优势以及传递效率对上市公司股价波动性的影响。实证结果表明,股票的网络中心度越高,其价格的波动性越低,即股票在网络中的信息优势可以降低股价波动;进一步研究发现,网络密度在股票网络中心度对股价波动性的影响中发挥了正向调节作用,即网络信息传递效率越高,股票的信息优势越能发挥稳定股价的作用。

According to information network theory,the behavior of network members is influenced by the network that they are embedded in,and the information advantage can affect the performance of individual member in the network.Based on this theory,this study utilized quarterly fund shareholding data from 2016 to 2022 to construct the fund shareholding network.The study examined the impact of network information advantage and information transmission efficiency on the volatility of stock prices in the listed companies in China’s A-share market.The empirical results show that the stocks with higher network centrality exhibit a lower price volatility,indicating that the information advantage can reduce stock price volatility.Furthermore,network density can positively moderate the effect of stock centrality on price volatility,i.e.,a higher network information transmission efficiency can better promote the stabilizing effect of information advantage on stock prices.