不同质的投资者集团的传染效应
1Division of Business Administration, Chosun University, Gwangju, Republic of Korea.
PloS one
|October 18, 2023
概括
这项研究表明,零售投资者在金融市场上显著放大系统性风险. 了解投资者相互联系为金融传染和危机管理提供了新的见解.
科学领域:
- 金融经济学 金融经济学
- 市场微观结构 市场微观结构
- 系统风险分析 系统风险分析
背景情况:
- 衡量系统性风险对于金融稳定至关重要.
- 现有的模型往往忽略了投资者行为在风险传播中的作用.
- 了解市场的相互联系是识别传播道的关键.
研究的目的:
- 通过分析投资者相互联系来提出衡量系统风险的替代方法.
- 调查异质投资者,特别是零售投资者在系统性风险中的作用.
- 通过基于连接的战略,探索提升投资组合回报的潜力.
主要方法:
- 使用差异分解和来自韩国证券交易所 (2002-2018) 的综合交易数据库.
- 通过从微观投资者活动中获得的总连接度量来量化系统性风险.
- 分析投资者类型对冲击传播和投资组合表现的影响.
主要成果:
- 在国内和全球金融危机期间,以总连接度衡量系统性风险显著增加.
- 零售投资者 (噪音交易者) 被认为是传播金融冲击的关键驱动力.
- 基于总连接敏感度构建的投资组合显示出额外回报的潜力.
结论:
- 投资者相互联系为衡量和理解系统风险提供了一个新的视角.
- 零售投资者的活动在金融传染的动态中发挥着关键作用.
- 调查结果对金融监管,政策制定和投资策略有实际影响.
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