Investor Network Density and Stock Crash Risk

被引：2

作者：

Zhai, Xiaoying ^{[1
]}

Ma, Huiping ^{[1
]}

Zhang, Yongmin ^{[2
,3
]}

Jin, Hanglin ^{[2
,3
]}

Toh, Moau Yong ^{[4
]}

机构：

[1] Shanxi Univ, Sch Econ & Management, Taiyuan, Peoples R China

[2] Ningbo Univ, Business Sch, Ningbo, Peoples R China

[3] Ningbo Univ, Res Ctr Sustainable Finance, Ningbo, Peoples R China

[4] Xiamen Univ Malaysia, Sch Econ & Management, Bandar Sunsuria, Selangor, Malaysia

来源：

ECONOMICS & POLITICS | 2025年

关键词：

complex network; institutional investor network; stock price crash risk; COMMODITY FUTURES MARKETS; INSTITUTIONAL INVESTORS; CROSS-SECTION; CO-MOVEMENT; INFORMATION; PORTFOLIO; FIRM;

D O I：

10.1111/ecpo.12348

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Using the shareholding data of fund institutional investors on the Shanghai and Shenzhen stock exchanges, this paper constructs institutional investor networks of stocks and investigates the influence of investor network density on stock price crash risk. Empirical results show that investor network density has a significant restraining effect on stock price crash risk by reducing the delay in stock price response to information to a certain extent. The results are robust to alternative measurements of stock price crash risk and subsamples of stocks with enterprises' different property rights and institutional investors' shareholding ratios.

引用

页数：11

共 50 条

[1] Institutional investor networks and firm value [J].

Bajo, Emanuele ;

Croci, Ettore ;

Marinelli, Nicoletta .

JOURNAL OF BUSINESS RESEARCH, 2020, 112 :65-80

[2] Institutional Investors and the Informational Efficiency of Prices [J].

Boehmer, Ekkehart ;

Kelley, Eric K. .

REVIEW OF FINANCIAL STUDIES, 2009, 22 (09) :3563-3594

[3] Which institutional investors trade based on private information about earnings and returns? [J].

Bushee, Brian J. ;

Goodman, Theodore H. .

JOURNAL OF ACCOUNTING RESEARCH, 2007, 45 (02) :289-321

[4] Dynamic volatility spillover and network connectedness across ASX sector markets [J].

Choi, Ki-Hong ;

Mciver, Ron P. ;

Ferraro, Salvatore ;

Xu, Lei ;

Kang, Sang Hoon .

JOURNAL OF ECONOMICS AND FINANCE, 2021, 45 (04) :677-691

[5] Investor network: Implications for information diffusion and asset prices [J].

Chung, San-Lin ;

Liu, Wenchien ;

Liu, Wen-Rang ;

Tseng, Kevin .

PACIFIC-BASIN FINANCE JOURNAL, 2018, 48 :186-209

[6] Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect [J].

Ding, Shusheng ;

Cui, Tianxiang ;

Zhang, Yongmin .

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2022, 83

[7] Liquidity effects on oil volatility forecasting: From fintech perspective [J].

Ding, Shusheng ;

Cui, Tianxiang ;

Zhang, Yongmin ;

Li, Jiawei .

PLOS ONE, 2021, 16 (11)

[8] Incorporating the RMB internationalization effect into its exchange rate volatility forecasting [J].

Ding, Shusheng ;

Cui, Tianxiang ;

Zhang, Yongmin .

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 54

[9] Cross market predictions for commodity prices [J].

Ding, Shusheng ;

Zhang, Yongmin .

ECONOMIC MODELLING, 2020, 91 :455-462

[10] Modeling Price Volatility Based on a Genetic Programming Approach [J].

Ding, Shusheng ;

Zhang, Yongmin ;

Duygun, Meryem .

BRITISH JOURNAL OF MANAGEMENT, 2019, 30 (02) :328-340

← 1 2 3 4 5 →