TITLE:
A Research on Relationship between the Stock Holdings of Institutional Investors and the Stock Price Synchronicity of SME Board Market
AUTHORS:
Xiaohang Li
KEYWORDS:
SME Board Market, Institutional Investors, Stock Price Synchronicity
JOURNAL NAME:
Technology and Investment,
Vol.8 No.1,
January
9,
2017
ABSTRACT: This paper uses the factor regression model of stock returns to quantify the stock price synchronization. Using the data of the listed companies in the Shenzhen SME board market from 2011 to 2015, this paper demonstrates the relationship of the stock holdings of institutional investors, the dummy variables of long- and short-term holdings and the proxy variable of the stock price of listed companies in the SME board. The conclusion is that the relationship between shareholding ratio of institutional investors and stock price synchronicity is an inverted U-shape. It means that in China when institutional investors hold less than a certain percentage, the shareholding proportion positively correlates with stock price synchronization. When institutional investors hold more than a certain percentage, the proportion of shareholding negatively correlates with stock price synchronization. The relationship between the stock holdings of institutional investors and stock price synchronization is also related to the type of institutional investors’ holding behavior. The long-term stock holding behavior of institutional investors will decrease the stock price synchronization. The short-term stock holding behavior of institutional investors will improve the stock price synchronization.