| Institutional investors have played an important role in the efficiency of the securities market.Today the private securities funds have gradually expanded their market share,which has become a development direction in many countries.The private securities investment funds have developed rapidly in recent years and gradually occupyed more share and becoming a major of the market in China.According to the theory of behavioral finance,private securities investment funds are not completely rational.Due to various reasons,it is often difficult to fully achieve value investment in actual investment operations.Private securities investment funds also tend to over react,underreact and herd behavior.Combining the domestic and foreign research results in this area,we can understand that most of the studies are from the perspective of the fluctuation of the market caused by the proportion of private securities investment funds,and discuss the role of private securities investment funds in stabilizing the stock market.However,the research results of relevant scholars are not consistent in the conclusion.Some scholars believe that private securities investment funds increase the volatility of the stock market,which is not conducive to improving the efficiency of the stock market.While some scholars believe that private securities investment funds reduce the volatility of the stock market,which is conducive to improving the efficiency of the stock market.It is necessary to study the impact of private securities funds on the efficiency of the securities market,and we need to take reasonable guidance measures to promote the healthy development of the securities market.However,due to the private securities attributes of private securities funds,the degree of information disclosure is relatively low,and there are few empirical studies on this aspect.Based on this,this paper takes private securities investment funds as the research object,and studies the impact of private securities investment funds on the efficiency of the securities market from an empirical point of view.This paper based on the theories of effective market theory and behavioral finance theory,using the theoretical analysis,descriptive statistical analysis and quantitative analysis methods to study the impact of private securities investment funds on the efficiency of the securities market.Using the panel quantile regression model to analyze whether the private securities investment fund improves the information efficiency of the market;using the propensity score matching analysis method(PSM)to analyze the impact of private securities investment funds on the market operation efficiency;using the event method for private securities investment funds whether the herd behavior exists exists for empirical research;panel data model is used to analyze the impact of private securities investment funds on the valuation efficiency of listed companies.Finally,based on the results of the empirical chapters,the relevant policy recommendations are proposed.The conclusions are as follows:(1)We found that private securities holdings can reduce the synchronization of stock price fluctuations of listed companies and have a positive impact on market information efficiency.Through the research of listed companies of different sizes,it is also found that private securities holdings are beneficial to reduce the synchronization of stock price fluctuations of listed companies and have a positive impact on market information efficiency.(2)We found that private securities investment fund holdings can reduce the volatility of stocks and help to increase the daily yield of individual stocks.Therefore,private securities investment funds can effectively improve the operating efficiency of the market,the private securities investment funds can reduce the volatility of stocks compared with other securities investment funds.Therefore,private securities investment funds can effectively improve the operational efficiency of the market compared with other institutional investors.(3)On the rising event day,the stock return rate of private securities is lower than that of other listed companies,and the higher the shareholding ratio,the more obvious the decline in the rate of return on individual stocks,thus indicating that the herd behavior of private securities investment funds does not exist.On the day of the decline,the stock return rate of private securities is higher than that of other listed companies,and the higher the shareholding ratio,the more obvious the listing rate of individual stock returns,thus indicating that the herd behavior of private securities investment funds does not exist.(4)We found that private securities holdings are beneficial to increase the return on net assets and earnings per share of listed companies,which has a positive impact on the valuation efficiency of listed companies.Innovations:(1)Using panel quantile regression model to analyze whether private securities investment funds improve the information efficiency of the market.The general panel regression model can usually only be used to study the conditional expectation E(y|x)of the independent variable to the dependent variable.Such regression is essentially mean regression and has corresponding limitations.The conditional expectation E(y|x)is usually only an indicator used to describe the degree of concentration of the distribution y|x,but it does not reflect the overall situation of the entire conditional distribution of the variable.The "quantile regression" model analyzes the relationship between the independent variable and the dependent variable based on the conditional distribution of the dependent variable.The extreme value has less influence on the regression result,and can accurately describe the conditional distribution shape and range on variation of the independent variable for the dependent variable which gives a stable result.(2)Using the propensity score matching analysis method(PSM)to analyze the impact of private securities investment funds on market operation efficiency.The PSM analysis method can eliminate the deviation of the results due to the choice of the enterprise itself,and the relationship between the dependent variable and the control variable does not need to be presupposed;and the regression analysis usually needs to presuppose the specific relationship between the dependent variable and the control variable,when there is a complex interaction it is assumed that there is a bias,and PSM analysis can avoid this situation.In terms of the sample size used in the analysis,the regression analysis naturally uses all the samples,while the PSM analysis does not use all the data,and the samples outside the common support area are not involved in the comparison.The most critical is that the selection variables and the dependent variables are usually related,so the use of regression analysis does not ensure that the regression results are unbiased,and the PSM analysis can solve the endogenous problems.(3)Using the Patrick J.Dennis and Deon Strickland(PD method)to study the herd behavior of private securities investment funds.Foreign studies on herd behavior have adopted the LSV method earlier,but this method has many defects.Although the PCM method can simultaneously examine the direction and intensity of institutional investors' behavior,it can overcome the related defects of the LSV method.However,the LSV method and the PCM method have related defects in verifying the herd behavior of institutional investors.They are unable to measure the herd behavior effectively and sensitively,and cannot accurately assess the impact of institutional investors' price and fluctuations in the securities market,and the PD method can effectively avoid related defects. |
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