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Institutional Investor Information Sharing, Stock Market Extreme Risk, and Financial Systemic Risk
Joint Authors
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-04-09
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
To analyze whether information sharing in the institutional investors plays the role of a market stabilizer or risk booster, this paper constructs the institutional investor information network employing the common holding stocks of the mutual funds as links.
The information linkages between two funds with large positions in the same stock are hypothesized to be connected to each other.
Then, we use the information sharing efficiency in the fund networks to study the effects of information transmission on stock market extreme risk and financial systemic risk.
Especially, the speed of information diffusion in the network is characterized by the topology structures based on social network theory.
Empirical research studies find that the Chinese fund information network exhibits small-world characteristics, which reflects rapid speed of information diffusion.
Seen from the idiosyncratic risk of volatility, information sharing of institutional investors can improve the behavior consistency of fund managers, thus increasing the stock volatility via herd effects.
Besides, it can be concluded that institutional investor information sharing can reduce the extreme risk by promoting the comprehensiveness of information flow and the market pricing efficiency of stocks, thereby reducing the degree of financial systemic risk.
The obtained conclusions provide suggestions for decision-making of institutional investors.
It can help the regulators to pay attention to the herd effects so as to control systemic risk.
American Psychological Association (APA)
Gong, Xiao-Li& Du, Zhi-Qiang. 2020. Institutional Investor Information Sharing, Stock Market Extreme Risk, and Financial Systemic Risk. Complexity،Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1142551
Modern Language Association (MLA)
Gong, Xiao-Li& Du, Zhi-Qiang. Institutional Investor Information Sharing, Stock Market Extreme Risk, and Financial Systemic Risk. Complexity No. 2020 (2020), pp.1-10.
https://search.emarefa.net/detail/BIM-1142551
American Medical Association (AMA)
Gong, Xiao-Li& Du, Zhi-Qiang. Institutional Investor Information Sharing, Stock Market Extreme Risk, and Financial Systemic Risk. Complexity. 2020. Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1142551
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1142551