投资网络与股票的系统性风险贡献:来自中国的证据

IF 2.9 3区 经济学 Q1 ECONOMICS
Youtao Xiang, Sumuya Borjigin
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引用次数: 0

摘要

本文研究了网络结构对股票系统性风险贡献的影响,从不同方面衡量了投资网络的连接特征。首先,我们发现网络中心性会增加系统性风险贡献,即使在控制了其他因素后,实证结果仍然成立,并且对其他衡量指标也是稳健的。其次,本文进一步提出了两种可能的解释。具体而言,投资网络联系可能增加与公司串通的可能性,便于相关机构投资者掏空上市公司,而处于网络中心的公司可以通过信息的产生和传播放大市场参与者的情绪,从而增加股票的系统性风险贡献。此外,经济政策不确定性(EPU)也会加强网络中心性对股票系统性风险贡献的积极影响。最后,我们发现其他重要的网络特征(包括结构洞、聚类系数和核心-外围结构)也会增加股票的系统性风险贡献。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Investment network and stock’s systemic risk contribution: Evidence from China

In this paper, we investigated the effect of network structures on stock’s systemic risk contribution, which measures the connection characteristics of investment network from different aspects. Firstly, we find that network centrality increases systemic risk contribution, and empirical results hold even after controlling for other factors and are also robust to alternate measures. Secondly, this paper further proposes two possible explanations. Specifically, investment network connection could increase the possibility of collusion with firms, facilitate the relevant institutional investors to hollow out the listed company, and firms at the center of network can amplify the sentiment of market participants through the generation and dissemination of information, thereby increasing stock’s systemic risk contribution. Besides, economic policy uncertainty (EPU) could strengthen the positive effect of network centrality on stock’s systemic risk contribution. Finally, we document that other important network features (including structural holes, clustering coefficients, and core-periphery structure) can also increase stock’s systemic risk contribution.

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来源期刊
CiteScore
6.00
自引率
2.90%
发文量
118
期刊介绍: The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.
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