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孔曼玉, 潘宁宁, 徐秋华, 刘壹
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摘要： 本文基于2007-2022年A股数据，采用SJC Copula模型刻画个股与市场收益的左尾依赖结构，研究机构投资者“分心”对尾部系统风险的影响。研究发现，机构分心显著降低个股尾部系统风险，其机制主要通过抑制羊群行为与提升个股流动性实现。异质性分析表明，该效应在压力抵制型机构、面临负向冲击的时期以及未披露企业社会责任报告的企业中尤其显著。本研究为理解机构行为与市场稳定性之间的关系提供了新证据，对完善宏观审慎监管具有参考价值。
关键词: 机构投资者“分心”, 尾部系统风险, 羊群行为
Abstract: Based on data from China’s A-share market between 2007 and 2022, this study utilizes the SJC Copula to measure tail systemic risk and constructs an institutional investor “distraction” index using extreme industry returns. We find that distraction significantly reduces firm-level tail systemic risk, primarily through mechanisms that inhibit herding behavior and enhance stock liquidity. Heterogeneity analysis reveals that this effect is more pronounced among pressure-resistant institutions, during periods of negative external shocks, and in firms that do not disclose social responsibility reports. Our findings contribute to understanding institutional behavior’s role in market stability and macroprudential regulation.
Key words: institutional investor distraction, tail systemic risk, herding behavior
孔曼玉,潘宁宁,徐秋华, 等. 机构投资者“分心”与尾部系统风险[J]. , doi: 10.16381/j.cnki.issn1003-207x.2025.1986.
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链接本文: https://www.zgglkx.com/CN/10.16381/j.cnki.issn1003-207x.2025.1986
