Topic: Modeling Institutional Investors in China

Guest: Dr. Guanhao (Gavin) Feng

· Associate professor of finance and statistics, The City University of Hong Kong

Date: Dec. 17th, 2025 (Wednesday)

Time: 14:00-15:30

Venue: T2-306

Language: English

Lecture mode: On-site participation

Abstract

This paper quantifies the impact of institutional investors on the Chinese stock market. We estimate an asset demand system and show significant heterogeneity in institutions' price elasticities, preferences for firm characteristics, and latent demand. Using counterfactual analyses, we present three new results. First, corporations play a more important role than retail investors and the national team during the 2015 stock market turbulence. Second, investments through the Hong Kong Stock Connect (HKC) program, implemented in November 2014, have become increasingly passive over time and do not significantly improve price informativeness. Finally, the entry of new institutions into the stock market reduces the size premium. Overall, the impact of institutional investors is significant on stock prices, but not on price informativeness.

Speaker

Guanhao (Gavin) Feng is is an associate professor of finance and statistics at the City University of Hong Kong. He is also the director of the College of Business Research Centre of Fintech and Business Analytics. Gavin earned his Ph.D. and MBA from the University of Chicago in 2017.

Gavin focuses on tackling empirical challenges in asset pricing and FinTech by developing methodological solutions that leverage machine learning, generative AI, Bayesian statistics, and financial econometrics. His work has been published in leading journals such as the Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Econometrics, and International Economic Review. He is the principal investigator for various external research grants, such as the HKRGC ECS and GRF grants, and the NSFC youth science fund. Gavin’s research has been acknowledged by practitioners, receiving research awards from INQUIRE Europe, Hong Kong Institute for Monetary and Financial Research, and the AQR Insight Award.