指数基金是否稳定了股价？——基于断点回归设计的证据

Abstract

By 2023, the size of domestic index funds had grown nearly eightfold since 2010, with equity holdings of index funds exceeding those of active funds for the first time in the third quarter of 2024. In this context, understanding whether index funds amplify or stabilize stock-price fluctuations in China has become a central question for both regulators and market participants. Theoretically, index funds may influence price stability through competing channels. On one hand, inclusion in major indices increases visibility and reduces the sensitivity of prices to short-term noise. On the other hand, as index-fund scale expands, large passive flows may reduce free-floating shares and create mechanical trading pressure during subscription and redemption cycles, potentially amplifying short-term volatility. Determining which effect dominates requires credible empirical identification. This study exploits the institutional features of the CSI 300 and CSI 500 indices to construct a quasi-natural experiment. Index constituents are ranked by average total market capitalization with semiannual adjustments that shift firms across a well-defined threshold. Near this cutoff, firms in the lower end of the CSI 300 and firms in the upper end of the CSI 500 share similar fundamentals yet their index weights and index-fund ownership differ sharply due to index-tracking rules. This discontinuity provides a clean source of variation that allows us to identify the causal impact of index-fund ownership on price stability. Using data from 2013 to 2020, we implement a fuzzy regression discontinuity design. The first-stage results reveal a sizable jump in index-fund ownership at the cutoff, with CSI 300 tail firms receiving substantially higher passive holdings. This 'tail-head' pattern reflects China's market characteristics, including the dominance of large-cap index products and the smaller overall market scale. The second-stage estimates show that higher index-fund ownership significantly enhances price stability, reducing volatility, idiosyncratic volatility, return amplitude, downside tail risk, and limit-down events, while leaving limit-up events unchanged. These patterns indicate an asymmetric stabilizing effect that mainly suppresses extreme negative movements. To uncover the mechanisms behind these patterns, we examine firms' information disclosure, managerial tone, earnings quality, and equity-pledging behavior. Firms with higher index-fund ownership exhibit more cautious narrative tone in annual reports, higher reporting quality, and lower reliance on equity pledging, suggesting that index funds improve internal governance and discipline managerial behavior.