Government Stock Purchase Undermines Price Informativeness: Evidence from China’s “National Team”
研究了2015年中国股市崩盘后政府通过“国家队”购买股票的影响，发现此举降低了市场波动性和价格信息含量，原因在于投资者转而关注政府干预信息而非基本面信息。
Abstract We use the 2015 Chinese stock market crash to study the effects of government stock purchases. The Chinese government purchased stocks to stabilize the markets through state-owned financial institutions known as the “National Team.” We find that the intervention led to reduced volatility and price informativeness. These impacts are driven by the disclosure of government portfolios. Consistent with investors having a stronger incentive to acquire government intervention information instead of fundamental news, we find reduced information production and information asymmetry following intervention disclosure. The article suggests that government stock purchases involve a trade-off between stability and informational efficiency.