The Research On The Impact Of Fund Managers' Holding Together On Stock Price Fluctuations

In recent years,with the rapid growth of China securities market and the support of the SRC's extraordinary policies,the number of institutional investors has achieved leap-forward development,and the number of institutional investors has been equal to the number of individual investors.The original intention of extraordinary development of institutional investors is that rational,professional institutional investors can reverse the noise trading on the stock market;Nevertheless,in the excessive pursuit of quantitative leap,the requirement for quality is neglected,many institutional investors have not played a role in stabilizing the market,especially in securities investors who account for a large proportion of institutional investors.Under this situation,this paper explore the impact of institutional investors' action on stock price fluctuation from another group behavior between fund managers.However,scholars have discovered that co-holding appeared in the fund family for the sake of creating star funds and delivering benefits long before,so this article step out of the family circle,analysis according to the characteristics of fund managers,specifically,starting from the background of their graduate schools,trying to do further research from mechanism of the effect of alumni fund manager's group behavior on stock price fluctuations.By searching and collating their graduate school data,find that managers are graduate mostly from famous universities,this has made their network of alumni gradual stronger,group behaviour also has tracks to look for.Further,sort out the details of fund managers' holdings from the same institution,it was found that there is a common co-holding behaviour among alumni fund managers,on the basis of this fact,from a new view--alumni fund managers' group behavior,further study the characteristics of the alumni fund managers' co-holding stocks and the impact on stock price fluctuation,and give some suggestions in accordance with conclusions.This article classifies equity open-ended fund managers who are in office from2015 to 2017 according to the graduation institutions,sort out the quarterly shareholding details managed by fund managers under each same graduation institution,establish a group dummy variable.Then,using binary logistic model filter feature variables,use propensity score matching method to research the impact on alumni fund managers' holding together on stock price fluctuation,based on filtered financialvariables and governance structure variables,match the co-holding and reference stocks,at this time,there is almost no significant difference between co-holding stocks and reference stocks on the characteristic variables,the difference is only whether or not shared by alumni fund managers.On that basis,finally calculate the average treatment effect ATT,that is the “pure” difference on fluctuation between the co-holding shares and reference shares,namely,the effect of alumni fund managers' group behaviour on stock price fluctuation studied in this paper.Mainly got the following conclusions:(1)Through a comparison on the matching feature variables of co-holding and reference stocks before the match,in the financial condition variables,asset liability ratio,receivable turnover ratio,rate of return on total assets,company size,co-holding shares are significantly better than the reference shares;in the governance structure variables,board size,proportion of independent directors in directors,co-holding shares are significantly better than the reference shares;co-holding shares' fluctuation,turnover rate are also lower than reference shares,yet the rate of return is higher.This shows fund managers tend to choose listed companies that steady operation,excellent financial position,well-managed,at the same time,co-holding stocks has lower fluctuation rate and turnover rate,while rate of return is higher.(2)When using the quarterly standard deviation of the stock's daily rate of return as a method of calculating the fluctuation,under the overall market,there is no distinction between the bull and bear market,ATT test results are positive and significant,that means the fluctuation rate of the co-holding shares is higher than the reference shares.This result is the opposite of what happened before the match,this means fund managers will choose stocks that are less fluctuated,however,the group behavior has increased the fluctuation of the stocks.Under the bull market,ATT test results are still positive,but the corresponding t value is not significant,it shows that the fluctuation rate of the co-holding shares is not significantly greater than the reference shares.Under the bear market,ATT results show that the fluctuation rate of the co-holding shares is significantly greater than the reference shares.Overall,alumni fund managers have increased the fluctuation of the stock price.(3)This article also tends to start with another two variables,the rate of return and the turnover rate,which can also measure stock price fluctuations,exploring the impact of the holding together on stock price fluctuations.Under the overall market,the yield rate of co-holding shares is higher than reference shares with the level of significance equals 0.05;Under the bull market,the yield rate of co-holding shares is higher thanreference shares under the 0.01 significance level;Under the bear market,the yield rate of co-holding shares is also higher than reference shares under the 0.01 significance level.Whether or not the market is divided,the rate of exchange of co-holding shares is smaller than reference shares,but the result is not significant.