机构投资者抱团对股价跳跃风险的影响研究

The Impact of Institutional Investor Herding on Stock Price Jump Risk

摘要: 本文选取了2005年至2022年中国A股市场的机构持仓股票为样本，构建面板回归模型分析研究机构投资者抱团对股价跳跃风险的影响，得出以下结论：第一，机构投资者抱团行为显著加剧股票市场跳跃风险。第二，公司内部控制水平、公司股票流动性以及公司信息透明度在其中起到了部分中介效应。第三，机构投资者抱团对国有企业、正向跳跃风险、市场处于熊市阶段、高科技企业跳跃风险影响更为显著。

Abstract: This paper selects stocks held by institutional investors in China’s A-share market from 2005 to 2022 as research samples, and constructs a panel regression model to analyze the impact of institutional investor herding on stock price jump risk. The research draws the following conclusions: First, herding of institutional investors significantly exacerbates the jump risk in the stock market. Second, the level of corporate internal control, corporate stock liquidity, and corporate information transparency play a partial mediating role in this process. Third, the impact of institutional investor herding on the jump risk is more significant for state-owned enterprises, positive jump risk, periods when the market is in a bear market, and high-tech enterprises.