Mutual Fund Crowding in Disclosed Top Holdings and Stock Price Efficiency: Evidence from Chinese A-Shares

Using disclosed top-ten holdings data of mutual funds in China's A-share market, this paper constructs a disclosure-based crowding measure and examines its relationship with stock price efficiency. Combining CSMAR data, the paper builds a Q1 disclosure-based panel covering 38,536 stock-quarter observations for 4,871 A-share stocks from 2011-03-31 to 2023-03-31. Using PriceDelay as the main proxy, the baseline results show that the coefficient on Top10Crowding_Ln1p_w remains significantly negative and reaches -0.0046 in the main specification, indicating that stronger fund crowding is associated with faster incorporation of information into prices. This conclusion remains stable across alternative variable definitions and sample treatments. Mechanism tests provide clearer support for the turnover channel, whereas illiquidity behaves more like a complex channel or suppressor effect. The efficiency-improving effect is mainly concentrated in large-cap, low-illiquidity, and high-volatility stocks.