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Do Institutional Group Holding Anomalies Drive Broad Market Trends?: Based on Shannon Entropy in Network Systems

Do Institutional Group Holding Anomalies Drive Broad Market Trends?: Based on Shannon Entropy in Network Systems

Jia Liu, Wenqiang Li, Qingru Li
Copyright: © 2022 |Volume: 34 |Issue: 8 |Pages: 31
ISSN: 1546-2234|EISSN: 1546-5012|EISBN13: 9781668462638|DOI: 10.4018/JOEUC.314787
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MLA

Liu, Jia, et al. "Do Institutional Group Holding Anomalies Drive Broad Market Trends?: Based on Shannon Entropy in Network Systems." JOEUC vol.34, no.8 2022: pp.1-31. http://doi.org/10.4018/JOEUC.314787

APA

Liu, J., Li, W., & Li, Q. (2022). Do Institutional Group Holding Anomalies Drive Broad Market Trends?: Based on Shannon Entropy in Network Systems. Journal of Organizational and End User Computing (JOEUC), 34(8), 1-31. http://doi.org/10.4018/JOEUC.314787

Chicago

Liu, Jia, Wenqiang Li, and Qingru Li. "Do Institutional Group Holding Anomalies Drive Broad Market Trends?: Based on Shannon Entropy in Network Systems," Journal of Organizational and End User Computing (JOEUC) 34, no.8: 1-31. http://doi.org/10.4018/JOEUC.314787

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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.