信息互动、投资决策与股票价格——基于机构投资者信息网络的分析

Abstract

Institutional investors often share information with and learn from others in the market. This information interaction promotes the dissemination of private information among investors and can directly affect their decision-making and asset pricing. Based on social network theory, this paper empirically analyzes how the information interaction between funds influences their decision-making and stock pricing. First, this paper uses Pareek's (2009) method to establish the fund information networks: if two funds are heavy holders of the same shares, they are deemed to be 'connected.' Second, we examine the relationship between the position decision-making of funds and that of the members of their information networks, and further consider whether the effects of the information interaction under different decision-making scenarios and market situations are significant and different. We then divide the effects into same-city and different-city effects and test whether there are significant differences. Finally, we test whether the effects vary in terms of gender, length of service of fund managers, and size of the information networks. In addition, we build a stock information network based on the fund information network to study how the information interaction affects stock pricing. Our sample comprises all A-share listed companies on the Shanghai and Shenzhen Stock Exchanges from the first quarter of 2005 to the fourth quarter of 2018 and equity and mixed open-ended funds. The results show that information interaction has a significant impact on funds' position decision-making, and the impact is significantly different under different decision-making scenarios and market situations. Fund managers' gender and length of service and the size of the information networks influence the effect of the information interaction. In Beijing, Guangzhou, and Shenzhen, the effects of other cities are significantly greater than those of the same city, while the case is the opposite in Shanghai. Moreover, information sharing reduces the long-term idiosyncratic volatility of stock prices, and the pricing efficiency of the stock market plays a mediating role.