| In recent years,with the rapid development of intelligent quantitative investment advisors,the phenomenon of institutional investor grouping is not only based on the results of communication and cooperation among a few institutions,but also probably the "new grouping phenomenon" in which multiple institutions adopt convergent investment strategies due to the same quantitative algorithms and similar investment styles.The essence of the new grouping in the new era is the concentrated investment behavior of institutional investors,and the article uses the Gini coefficient method to calculate the market-level institutional investor grouping index from the concentration degree.In the stock market,institutional grouping often has an impact on the stock price and eventually causes the whole stock market to fall and fall.Therefore,it is relevant to try to study the characteristics of institutional investor grouping and its impact on stock market volatility.At the same time,frequent changes in economic policies not only affect the value of firms,but also impact the investment expectations of market participants,which are eventually transmitted to the entire stock market.Therefore,the article further examines the role of economic policy uncertainty on the relationship between institutional investor grouping and stock market volatility.This paper first tries to redefine institutional investor grouping and theoretically analyzes the impact mechanism of institutional investor grouping on stock market volatility,and then selects A-share listed companies from the second quarter of 2004 to the fourth quarter of 2020 as the research objects,and uses the Gini coefficient method to calculate the market concentration of institutional investors’ shareholdings and the market concentration of institutional investors’ institutional number to measure the market-level institutional investor grouping degree.In order to improve the information content of volatility,the article uses a single-factor GARCH-MIDAS model based on realized volatility to measure conditional volatility with long-and short-term impact components as the measurement variable of stock market volatility,and empirically analyzes the impact of institutional investor grouping on stock market volatility.In further analysis,heterogeneity tests are conducted for sub-market and sub-industry situations.Finally,a theoretical moderating framework of the relationship between economic policy uncertainty on institutional investor grouping and stock market volatility is constructed and tested for its moderating effect based on the results of the main regression study.The main findings show that,first,the overall stock market volatility is significantly cyclical.Realized volatility filters out some noise disturbances and has a significant negative effect compared with the overall stock market volatility trend.Second,institutional investors’ holding shows certain seasonal characteristics and economic boom characteristics.Third,institutional investors’ holding behavior is significantly negatively correlated with stock market volatility,which is beneficial to the stability of stock market.Among them,the negative effect of institutional grouping on stock market volatility measured based on the market concentration of institutional holdings is more significant.Fourth,institutional investors’ grouping plays a positive role in stabilizing the market under different market conditions,but the effect of grouping is more obvious in bear markets;there are obvious industry heterogeneity characteristics of institutional grouping,and institutional grouping stabilizes the stock market in the whole manufacturing industry belonging to liquor,new energy,medical care,water,environment and public facilities management,mining,leasing and business services;while in the electricity,heat,gas and water production and supply industry The role of the group in the electricity,heat,gas and water production and supply industry,real estate,and in the high investment,long-cycle,long-term returns in the industry to play a strong role in the institutional group.Fifth,in the case of high economic policy uncertainty,institutional investor groups have a greater stabilizing effect on the stock market.In addition,based on the research results and specific reality,several insights are drawn: first,ordinary investors can use the institutional investors’ investment targets as reference.Second,institutional investors should adhere to their own investment style.Third,improve the institutional investor assessment and incentive system.Fourth,the government should strengthen regulation and improve policy transparency.. |
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