PT  - JOURNAL ARTICLE
AU  - Jiaxun Song
AU  - Jin Gao
TI  - Mutual Fund Illiquidity and Stock Price Fragility: A Study Based on Chinese Mutual Funds
AID  - 10.3905/jpm.2022.1.388
DP  - 2022 Jul 31
TA  - The Journal of Portfolio Management
PG  - 177--200
VI  - 48
IP  - 8
4099  - https://pm-research.com/content/48/8/177.short
4100  - https://pm-research.com/content/48/8/177.full
AB  - 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.