Author Information

Zheng Chang, School of Finance, Renmin University of China, 59 Zhongguancun St., Haidian District, Beijing, China

Wensheng Dai, School of Finance, Renmin University of China, 59 Zhongguancun St., Haidian District, Beijing,  China

Abstract

This paper investigates how China’s national team—a coalition of state-owned financial institutions—stabilizes stock market volatility through an anchoring effect. We begin by identifying a mechanism in which national team presence weakens the transmission of systemic market shocks to individual stock volatility. Using panel data from 2004Q3 to 2024Q1, we find robust evidence that the national team acts as a behavioral anchor. We then examine whether the anchoring mechanism becomes more salient during systemic crises. Focusing on the 2015 stock crash and the 2022 pandemic shock, a Difference-in-Differences approach confirms that stocks held by the national team experienced milder volatility increases compared to non-held peers, especially during the 2015 crisis. Finally, a logit model analysis reveals that the national team consistently targets large-cap, low-volatility stocks with strong market representation, structurally reinforcing its anchoring capacity. Our empirical results establish that the national team’s effectiveness derives from liquidity support and its structural role in shaping market expectations—providing visible, stable reference points that anchor investor behavior and dampen systemic volatility propagation.