机构投资者网络中心性对基金净值暴跌风险的影响研究——基于我国公募基金  

Study on the Impact of Institutional Investors’ Network Centrality on Crash-Risk of Fund—Based on China’s Mutual Fund

作　　者：郭鑫 窦文章[1,2] 

机构地区：[1]北京大学软件与微电子学院,北京 [2]北京大学战略研究所,北京

出　　处：《现代管理》2024年第7期1712-1727,共16页Modern Management

摘　　要：基于社会网络,选取2013~2022年成立时间为两年以上的主动管理型开放基金为样本,构建固定时间效应的面板回归模型,实证探究机构投资者网络中心性对基金净值暴跌风险的影响,并分析这种影响的传导机制。研究发现:越处于机构投资者网络中心的基金,其净值暴跌风险越小,同时券商证券分析师对公募基金持仓股票的关注度越高,机构投资者网络的中心性对基金净值暴跌风险的抑制作用越强,该结论具有较强稳健性;机构投资者网络中心性通过影响基金经理的择股能力和持仓个股的集中度来影响基金净值的暴跌风险。Based on social networks, actively managed mutual funds established for more than two years from 2013 to 2022 are selected as samples, a panel regression model with fixed time effect is used to empirically explore the impact of institutional investors’ network centrality on the crash-risk of fund and its transmission mechanism. The results show that funds with higher centrality have smaller crash-risk. Meanwhile, the attention securities analysts paid to the stocks held by mutual fund can strengthen this effect. These conclusions have strong robustness. The centrality of institutional investors’ network affects the crash-risk of fund by affecting the stock selection ability of fund manager and the concentration of stocks held by mutual fund.

关 键 词：机构投资者网络 基金净值暴跌风险 网络中心性 

分 类 号：F83[经济管理—金融学]