基于基尼系数法的中国机构投资者抱团现象对股市波动的影响研究

A study on the impact of Chinese institutional investors clustering on stock market volatility based on Gini Coefficient method

为探究市场层面机构抱团现象对股市波动的影响,选取2004年第2季度—2020年第4季度A股上市公司数据,创新性地运用基尼系数法构造机构持股市场集中度和机构数市场集中度测算市场层面机构投资者抱团现象指标,实证研究机构投资者抱团对股票市场波动的影响。研究发现:(1)机构抱团与股市波动负相关,且机构持股抱团指标更显著;(2)熊市中机构抱团发挥的稳定市场作用明显强于牛市;(3)机构抱团存在行业异质性特征,在制造业,水利、环境和公共设施管理业,采矿业,租赁和商务服务业中机构抱团稳定了股市,而在电力、热力、燃气及水生产和供应业,房地产业中起到了推波助澜的作用;(4)机构投资者在面临经济政策不确定性较高的情况下,机构抱团一定程度上有利于市场稳定。结合研究结论提出机构投资者要遵循自身投资理念和投资风格,严禁主观抱团操纵市场。

In recent years,with the rapid development of intelligent quantitative investment advisors,the phenomenon of institutional investor grouping is more and more obvious.It is not only due to the communication and cooperation among a few institutions,but also may be due to the fact that they employ same quantitative algorithms and similar investment styles.Therefore,a number of institutions pursue the convergence of investment strategies,and a new type of grouping phenomenon come into being.The essence of the new grouping in the new era is the centralized investment behavior of institutional investors,so the article uses the Gini coefficient method to calculate the index of institutional investor grouping at the market level from the degree of concentration.In the stock market,a number of institutions hold the shares together,and the retail investors follow them competitively to promote the rise of the share price of the group shares,and the stock market further shows its law that the strong are always strong,whereas the weak are always weak,which brings uncertainty to China's capital market,and ultimately push the whole stock market into tumble and fluctuate.Therefore,it is meaningful to try to study the group hugging of institutional investors and its impact on stock market volatility.Meanwhile,frequent changes in economic policies not only affect corporate value,but also impact the investment expectations of market participants,which is ultimately transmitted to the entire stock market.Therefore,the article further examines the impact of economic policy uncertainty on the relationship between institutional investor group hugging and stock market volatility.This paper tries to redefine and remeasure the institutional investor grouping,and analyzes the mechanism of institutional investor grouping on stock market volatility based on the theory of herd effect,governance and supervision effect,and industry integration power,etc.Then,the A-share listed companies from the second quarter of 2004 to the fourth quarter of 2020 are selected as the research objects,and the Gini coefficient is used to calculate the market concentration of institutional investor holdings and the market concentration of institutional investors' shareholdings.The Gini coefficient method is used to calculate the market concentration of institutional investors' shareholding and the market concentration of institutional investors' number of institutions to measure the degree of institutional investors' group hugging at market level.In the further analysis,a heterogeneity test is carried out for the situation of sub-market and sub-industry.Finally,based on the results of the main regression study,we construct a theoretical framework for moderating the relationship between institutional investor grouping and stock market volatility and test its moderating effect.The main results of the study show that:first,the group hugging of institutional investors shows certain seasonal characteristics and economic boom characteristics.The group hugging of institutional investors is more significant in the second and fourth quarters;at the same time,the degree of group hugging is relatively low when the macroeconomic situation is good and relatively high when the economy is in the doldrums.Secondly,the holding behavior of institutional investors is significantly negatively correlated with the volatility of the stock market,which is conducive to the stability of the stock market.Among them,the negative impact of institutional group hugging on stock market volatility measured based on the market concentration of institutional holdings is more significant.Thirdly,institutional investors group in different market conditions have played a positive role in stabilizing the market,which in the bear market to warm up the role of the group is more obvious.Institutional group possesses obvious industry heterogeneity characteristics,that in manufacturing industry,such as liquor,new energy,medical,water conservancy,environment and public facilities management industry,mining,leasing and business services stabilized the stock market;while in the power,heat,gas and water production and supply industry,the institutional group has a significant negative impact on stock market volatility,which is measured based on the market concentration of institutional holdings.Electricity,heat,gas and water production and supply industry,real estate have played a role in pushing the waves,and in the industry with high investment,long cycle,long-term returns,institutional groups play a more important role.Fourthly,in the case of high economic policy uncertainty,the grouping of institutional investors has a greater stabilizing effect on the stock market.In addition,according to the results of the study and the specific reality,a few insights are drawn.First,ordinary investors can use the investment targets of institutional investors as a bridge to participate in value investment and quality companies,and then guide the flow of market capital,so that the capital can gather high-quality assets and optimize the allocation of market resources.Secondly,institutional investors should adhere to their own investment style,standardize investment behavior,avoid excessive participation in the company's operations.Thirdly,the government should strengthen supervision,improve policy transparency,advocate institutional investment behavior and economic policy uncertainty to reduce short-sighted behavior.