Abstract
This paper focuses on the behaviour of institutional investors in the Chinese stock market and quantifies their “group holding” behaviour. Using the Shannon entropy in network systems, the authors measure institutional investors' stock holdings strategy and internal private information transmission. A time-varying parametric vector autoregressive model between institutional behaviour and secondary stock market trends in China is constructed. The time-varying nature of the variables, response functions, and linkage mechanisms are explored and studied. The results of the data suggest that institutional investors' stock holdings and private information transmission have different mechanisms of influence on stock market trends. In terms of direction, they may diverge; in terms of size, institutional investors' “real money” is more impactful than “gossip”; in addition, they are asymmetrical in their stage of development and heterogeneous in different market conditions.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
