Research On The Influence Of Institutional Investors On Market Information Efficiency

Since 2001,China has begun to over-regulate institutional investors and gradually get rid of the situation of retail-led capital markets.The number of institutional investors has begun to grow rapidly,and the proportion in the capital market has also increased rapidly.More and more individuals have begun to choose.Professional investment institutions conduct agency investment.However,in view of the development of institutional investors for decades,its influence on the efficiency of capital market information is still controversial.On the one hand,institutional investors are professional and rational investors,with scale advantages and information advantages,and their trading behaviors.It can promote the integration of market information into stock prices,thereby improving the information efficiency of the market and promoting the full play of the functions of the Chinese capital market.On the other hand,a series of fund violations occur frequently,all of which expose the various kinds of institutional investors in China.Disadvantages,excessive pursuit of short-term gains,and even the open implementation of market manipulation,insider trading,and many illegal acts have a very negative impact on the information efficiency of China's capital market.As we all know,institutional investors have more information advantages and scale advantages than retail investors,making their influence on the capital market more important.The size of institutional investors continues to grow and develop,which means that their influence on the capital market is also growing.The bigger the role of institutional investors in the market will directly affect the development of China's capital market.Therefore,under the current situation that the Chinese market supervision system is still not sound enough,it is imperative for research institutions to play a role in the capital market.Whether institutional investors are rational informed traders,whether their behavior has played a positive or negative role in the operation and development of the market,has always been an important topic of scholars' controversy.They studied the behavior of institutional investors from the perspectives of corporate governance,market stability,market liquidity,etc.,measured the development of institutional investors,and put forward the theoretical basis for guiding the direction of institutional investors,and proposed certain Policy recommendations.However,there are several problems in the previous scholars' research:one of them is that scholars study the influence of institutional investors on China's capital market from the perspective of market stability,but institutional investors directly pass Promote the improvement of market information efficiency to affect the operation of the market.The impact on the market does not directly affect the fluctuation of the market.Therefore,this paper will study the influence of institutional investors on market information efficiency from the perspective of market information efficiency.In this way,scholars have not or insufficiently considered the issue of the selective deviation of their shareholdings when studying the behavior of institutional investors.This problem of selective bias is common in the study of institutional investor behavior,and the problem of selective deviation of shareholding will directly lead to The conclusions of the study are not reliable,so this paper will focus on this issue,using the propensity score matching(PSM)method to fully address the selective bias in institutional investors' shareholding,effectively overcoming the endogenous problems in previous studies;The point is that previous scholars studying institutional investors.When the impact of the efficiency of field information,the stock price did not consider two sources of information content:personal information managers and outside investors information.This will lead to the conclusion that it is impossible to distinguish whether institutional investors increase the stock information content by colluding with managers,or use their professional knowledge to conduct rational transactions,and truly improve the efficiency of market information.This article will use private information without managers.The stock price information index explores the behavior of institutional investors.Finally,the previous studies did not specify the economic transmission mechanism of institutional investors' influence on market information efficiency.This paper will explore its economic transmission mechanism from the perspective of corporate governance.The data sample of this paper is the quarterly data of A-share listed companies in Shanghai and Shenzhen stocks from 2007 to 2017.The data source is Guotai An CSMAR database.Although the main body of Chinese institutional investors has achieved diversification,the proportion of securities investment funds in various institutional investors still holds an absolute position.In addition,considering the availability of data,this paper will use securities investment funds as an institution.The representative of the investor holding shares defines the 10%shareholding ratio as the institutional investor's shareholding.In the empirical part of this paper,the PSM propensity score matching model will be adopted.The stock price information index INF,the adjusted stock price information index INFO and the stock price information index NINFO without managerial private information are used as model output variables to conduct a series of empirical studies.In the robustness test,the IVOL indicator and the RES VAR indicator of the trait volatility will be added for testing.In addition,the definition of institutional holdings will be extended to 8%and 12%for testing.Further,the PSM matching method is diversified.Verify the robustness of the conclusions in this paper.Finally,this paper conducts group research on sample data and uses information disclosure indicators to test,and gives the economic mechanism of institutional investors' influence on market information efficiency.The research results show that after solving the endogeneity problem of institutional shareholding preference preference,institutional investors' shareholding still significantly increases the stock price information content and improves the market information efficiency;it excludes institutional investors who may collude with managers to obtain After the private information thus increased the stock information content,institutional investors still significantly improved the stock information content,indicating that the rational trading behavior of institutional investors can improve the efficiency of market information;in non-state-owned enterprises,institutional investors hold stocks to improve the efficiency of market information.Significant,but this kind of promotion is not significant in state-owned enterprises.This is because institutional investors improve the efficiency of market information by improving the level of corporate governance and improving the quality of information disclosure.In state-owned enterprises,institutional investors participate in corporate governance.The role can not be fully utilized.A series of robustness tests also confirmed the above conclusions.It shows that institutional investors are rational informed traders.China's vigorous development of institutional investors has effectively increased the stock information content and improved the efficiency of market information.