| Stock liquidity is an important indicator to measure market quality.It is not only related to asset pricing,investment return and economic development,but also affects corporate governance and market information environment to a certain extent.Therefore,it is meaningful and important to study the factors influencing stock liquidity.Institutional investors have always been a very important part of China's securities market,and institutional investor ownership will have an impact on stock liquidity.However,most literatures focus on institutional investors in general.Few focus on passive investors(such as index funds)alone.This paper focuses on index fund ownership to understand the impact of passive investor holdings on stock liquidity.This paper selects stocks with an average shareholding ratio of more than 1% from 2013 to 2018 as the research object,using illiq as a measure of liquidity to study the influence of different types of index funds,stocks included in different indexes,and stock liquidity of index funds in different periods.The results show that with the increase of the index fund holdings,the liquidity level of the underlying stocks will become better.The stock liquidity can be improved by the increase of the stock ownership of both exchange-traded funds and enhanced index funds,but the traditional passive index funds have little influence on the stock liquidity.Whether a stock is included in the csi 300 index will significantly affect the relationship between index fund ownership and stock liquidity,but whether a stock is included in the csi 500 index has no significant impact.The influence of index fund ownership on stock liquidity was significantly different around 2015.Different sizes of index funds have different influences on stock liquidity.In general,the impact of passive institutional investors on stock liquidity is quite opposite to that of other institutional investors.It is meaningful to study the influence of passive institutional investors on individual stocks. |
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