基于共同持股网络的基金系统性风险研究  

Research on the Systemic Risk of Funds Based on the Network of Common Asset Holdings

作　　者：王虎 李守伟[2] 马瑜寅 刘晓星[2] WANG Hu;LI Shou-wei;MA Yu-yin;LIU Xiao-xing(School of Business,Yangzhou University,Yangzhou 225009,China;School of Economics and Management,Southeast University,Nanjing 211189,China)

机构地区：[1]扬州大学商学院,江苏扬州225009 [2]东南大学经济管理学院,江苏南京211189

出　　处：《中国管理科学》2023年第6期82-90,共9页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71671037,71971055);江苏省第十六批“六大人才高峰”高层次人才培养项目(JY-004);江苏省社会科学基金资助项目(19GLC005);东南大学优秀博士学位论文培育基金资助项目(YBPY2146)。

摘　　要：本文基于基金共同持股关联和债务排序思想,构建了基金共同持股风险传染模型,并利用2007-2020年基金半年度持股等数据,对基金网络中心性与基金系统性风险之间的关系及其影响机制进行研究。结果显示,基金网络中心性和基金系统性风险表现出显著的正相关关系,这一结论在考虑了潜在的内生性问题和进行相关稳健性检验后仍然成立。基金网络中心性会通过增加投资相似度而增加基金系统性风险,并且该影响机制会受到基金业绩的影响,在业绩较好的基金中表现更加显著。异质性检验表明,基金网络中心性对不同规模基金的系统性风险均为正向影响,并且对大规模基金的正向影响更大。基金网络中心性对不同投资风格基金的系统性风险均为正向影响。此外还发现,近年来,大量资金通过基金流入股市,导致股市波动对基金系统的影响显著增加。Based on common asset holdings of funds and the idea of DebtRank,a risk contagion model is constructed on the base of common asset holdings of funds,and the relationship between fund network centrality and fund systemic risk and its influencing mechanism are analyzed by using the data of semiannual fund shareholdings from 2007 to 2020.The results show that there is a significant positive correlation between fund network centrality and fund systemic risk.This conclusion is still valid after considering the potential endogenous problems and relevant robustness tests.The fund network centrality will increase the systemic risk of the fund by increasing the investment similarity,and the influence mechanism will be affected by the fund performance,which is more significant in the fund with better performance.The heterogeneity test shows that the positive effect of fund network centrality on the systemic risk of large-scale funds is more obvious,but there is no significant difference among the funds with different investment styles.In addition,it is found that in recent years,a large amount of money flow into the stock market through funds,resulting in a significant increase in the impact of stock market volatility on the fund system.It enriches and expands the related research of fund systemic risk in China in this paper.The results are helpful to further understand the influence mechanism of fund systemic risk in China,and provide a certain theoretical basis and practical guidance for preventing fund market risk.

关 键 词：共同持股网络 基金系统性风险 网络中心性 影响机制 

分 类 号：F830[经济管理—金融学]