Abstract:
Market extreme risk is an important issue in academia and industry. This paper examines stock heterogeneous risk and extreme risk through the perspective of institutional investor's information network. We find that stocks with a larger network density demonstrate stronger overall risk, heterogeneous risk and extreme risk as well. Especially, compared to the extreme upside risk, the network density has larger influence on the extreme downside risk, which means the information between the mutual funds more easily lead to black swan. Besides, under different liquidity level, there is an alternative effect on the market extreme risk between the liquidity factor and mutual funds information sharing mechanism. Our conclusions help to understanding the role of institutional investors in China, shedding light on market risk management and enriching investment trading strategies.
陈新春, 刘阳, 罗荣华. 机构投资者信息共享会引来黑天鹅吗？ ——基金信息网络与极端市场风险[J]. 金融研究, 2017, 445(7): 140-155.
CHEN Xinchun, LIU Yang, LUO Ronghua. Will Institutional Investors Information Sharing Draw Black Swan？:Fund Information Network and Extreme Market Risk. Journal of Financial Research, 2017, 445(7): 140-155.
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