Research On The Impact Of Institutional Investor Networks On The Stock Price Crash Risk

As an emerging financial market,the investor structure of China's stock market is still dominated by retail investors,and the stock market has always experienced high volatility.Among them,the stock price crash caused by the a sharp crash will not only damage the interests of shareholders,but also cause investors lost confidence to the capital market and have a serious impact on the real economy.Therefore,advocating institutionalization of investors is the development trend of global capital markets.Since 2009,the scale and number of China's institutional investors have continued to grow,and public funds have played an increasingly important role in China's securities market.The impact of institutional investors on the risk of stock price crashes has been a hot issue in the financial practice and academic circles.In the capital market,the widespread and increasingly frequent contacts have made the relationship between institutional investors more and more complex,forming a complex network of institutional investors.So,from the perspective of the relationship network,what effect does the network of institutional investors have on the risk of stock price crashes? What is the impact mechanism in between?In order to explore the above issues,this article builds a quarterly institutional investor network based on the perspective of a complex network,using the quarterly shareholding data of fund institutional investors from 2005 to 2018,and according to whether the two funds hold the same stock in heavy positions.Then extract the network of institutional investors for each stock.On this basis,according to the social network analysis method,this paper constructs two indicators describing the network structure of institutional investors: network density and network concentration.Combining asset pricing theory,behavioral finance theory,principal-agent theory,and information network related literature,first,this article uses multiple regression analysis methods to study the impact of the two network structure indicators on the risk of stock price crashes.Secondly,the three-step method of mediation effect was used to study its influence mechanism.Then,it further explores the difference in the impact of the two network structure indicators on the risk of stock price crash under different property rights and different institutional investors' shareholding ratios.Finally,the robustness test is performed to ensure the robustness of the results.The empirical research shows that:(1)the network density of institutional investors has a significant inhibitory effect on the stock price crash risk,that is,the higher the network density of institutional investors,the smaller the stock price crash risk.The possible impact mechanism is that the network density of institutional investors reduces the stock price crash risk to a certain extent by reducing the delay of the stock price.(2)The network concentration of stock institutional investors has a significant inhibitory effect on the risk of stock price crash.The greater the network concentration,the smaller the risk of stock price crash.The possible influence mechanism is that the network concentration reduces the degree of analyst's forecast convergence,thereby reducing the risk of stock price crash.(3)The negative effect of the network density of institutional investors on the stock price crash risk has no difference in the nature of property rights,and the concentration of network concentration on the risk of stock market crash in non-state-owned enterprises is more significant,but not significant in state-owned enterprises.(4)The negative effects of the two indicators of network density,network concentration,and the risk of stock market crashes are significantly different among different institutional investor holdings.The study found that in a sample of high institutional investor holdings,network density and network concentration have a stronger inhibitory effect on stock market crash risk.