Mutual Fund Illiquidity and Stock Price Fragility: A Study Based on Chinese Mutual Funds
研究中国共同基金持股非流动性对个股收益的影响，发现非流动性导致基金被迫抛售，增加股价崩盘风险，并通过新冠疫情数据验证结论。
From the perspective of Chinese equity fund shareholding, the authors study the economic consequences of institutional investors’ shareholding illiquidity. They use the stock holding data of Chinese mutual funds to verify that the illiquidity of mutual funds’ stock holding brings fragility to individual stock returns. Specifically, to meet investor redeeming requirement, illiquid fund managers are forced to fire-sale assets. The selling pressure created by this behavior causes the stock to be traded at a price lower than its true value, increasing the stock price collapse risk. Finally, using COVID-19 case data in China, the authors design a quasi-natural experiment confirming the conclusion in this article.