Chinese "Leveling Fund" Holding_Pricing Efficiency And Excess Return

The Chinese-style leveling fund with the primary goal of "rescue the market" was born in the 2015 stock market disaster period.This leveling fund is not a real fund,but composed by Central Huijin Investment Co.,Ltd.,Central Huijin Asset Co.,Ltd.,China Securities Finance Co.,Ltd.,an investment platform affiliated to the State Administration of Foreign Exchange,a top ten CSI gold financing management plan,and five public funds,which is called "national teams" by the market.The national team's direct purchase operation of nearly 4 trillion yuan has significantly curbed the spread of the A-share market collapse risk that year.The original purpose of the Chinese-style leveling fund was to stabilize the securities market,play a leveling role,buy undervalued stocks,and sell overvalued stocks.However,with the end of the stock market disaster,the national team has been active in the A-share market.As of October 31,2019,the national team held a market value of about 4.35 trillion yuan,accounting for 7.63% of the total market value of A shares,so it is necessary to study the role of the national team in the market today.This article divides the effect of the stabilization fund on the market into two directions: changing the efficiency of stock pricing and affecting the excess return of the underlying stock.The three-stage least squares method is used to analyze the effect of the national team's trading on the pricing of the underlying stock through the simultaneous equations.The empirical results show that the national team's trading has a significant effect on reducing the stock price synchronization,thereby improving the pricing efficiency of the underlying stocks.Moreover,the increase and decrease of the national team's holdings have an asymmetric effect on the synchronization of the target stock price.By using the event research method to analyze the cumulative excess return of the stocks operated by the national team in a specific window period,the results show that the stocks operated by the national team have significant abnormal returns in the short term,and the market has overreacted to the information of the national team trading.Therefore,this article concludes that the national team transaction significantly improves the pricing efficiency of the underlying stocks,and the stocks operated by the national team have a significantly non-zero excess return.The market overreacted to the national team's trading information.However,due to information asymmetry and other reasons,uninformed traders followed the national to buy stocks can easily lead to losses.