Empirical Research On The Influence Of Institutional Investors’ Holding Group Behavior On Stock Price

Firstly,we briefly defined the concept of institutional investors’ holding group behavior and distinguished it from herding behavior.Then,we took the data of top 10 holding stocks disclosed in quarterly fund reports from 2015 to 2020 as the main research object,and summarized 12 indicators,such as the absolute allocation ratio,relative over-allocation ratio,the number of funds and fund companies held,the pricing power of stocks and the changes of these indicators between adjacent quarters.Through principal component analysis,we finally got four effective principal component factors and constructed a comprehensive index to measure the degree of institutional investors’ holding group behavior,which called IIGI(Institutional Investors Group Index).Subsequently,we took IIGI as the main independent variable,and the daily average turnover rate and daily average amplitude of stock as the intermediary variables to study the influence on stock returns.Moreover,we also studied the influence whether will be different under different holding time and different market conditions.Finally,according to the IIGI score of each stock,we gave three corresponding investment strategies.We mainly draws the following three conclusions:First,the institutional investors’ group behavior has a significant impact on stock price,which is mainly conducted through the intermediary path of stock turnover rate and amplitude.And compared with the turnover rate,it rely more on the stock amplitude to have corresponding impact.Second,the direct effect of the institutional investors’ group behavior on the accumulated excess return of stock varies in different time intervals and market conditions.In the short term,it can effectively increase the accumulated excess returns.However,in a longer time perspective,it will cause losses to accumulated excess returns,which is mainly due to the erosion of stock returns by the loose of holding groups as time goes on.And when in bear market,the effect becomes negative whatever the time interval is short or long,which means the higher IIGI,the more stock price fails.Third,according to the calculation formula of IIGI,we can get the score of each stock,so as to construct three corresponding investment strategies,giving us a good idea of stock selection.In summary,we first made a distinction between institutional investors’ holding group behavior and herding behavior,and also enriched the measurement methods.Then,we further studied the influence of institutional investors’ holding group behavior on stock prices,which help us understand and evaluate institutional investors’ behavior objectively.Finally,we provided three corresponding investment strategies,which has certain practical value.