主动权益型基金抱团投资与股价崩盘风险

Research on the Influence of Group Investment of Active Equity Funds onStock Price Crash Risk Based on Complex Network Methods

基于复杂网络理论,研究根据主动权益型基金季度重仓持股数据建立基金共同持股关系网络模型和个股基金子网络关系模型,采用残差平均聚类系数、平均最短路径和残差网络密度实证个股基金子网络基金持股相似度和信息交流效率,发现基金抱团程度越高、信息传递效率越高,个股崩盘风险越低;震荡市中,基金抱团投资对个股崩盘风险影响的分样本和全样本回归结论一致;极端市场行情下,基金抱团对个股崩盘风险影响的有效性降低,甚至失效;牛市中,市场情绪乐观、行情好,基金抱团投资对个股崩盘风险的削弱作用显著降低;熊市中,基金抱团投资对个股崩盘风险的影响不显著。

Based on complex network theory,this study establishes the network model of mutual shareholding relationship of funds and the sub-network relationship model of individual stock funds based on the quarterly data of heavy stocks holding data of active equity funds,and adopts the residual average clustering coefficient,average shortest path and residual network density empirical analysis of the similarity of shareholdings of individual stock sub-fund network funds and the efficiency of information exchange.The empirical results showed that the higher the degree of fund grouping and the higher the efficiency of information transmission,the lower the risk of individual stock crashes,in a volatile market,the sub-sample and the regression conclusions of the whole sample are consistent;under extreme market conditions,the effect of fund grouping on crash risk of individual stock is reduced or even invalid;in a bull market,when the market sentiment is optimistic and market conditions are good,the weakening effect of fund grouping on crash risk of individual stock is significantly reduced;in a bear market,fund grouping investmenthas no significant impact on the crash risk of individual stocks.