地缘政治风险对共同基金风险承担的时间变化的影响
Jie Liu1, Zhenshan Chen1, Yinglun Zhu2
1College of Economics and Management, Fujian Agriculture and Forestry University, Fuzhou, China.
PloS one
|June 17, 2024
概括
地缘政治风险最初减少了中国的共同基金风险承担,但由于先进的对冲策略,这种影响在2015年后反转. 基金经理现在更好地应对地缘政治不确定性.
科学领域:
- 金融经济学 金融经济学
- 国际关系 国际关系
- 行为金融是行为金融.
背景情况:
- 地缘政治风险对金融市场产生重大影响.
- 共同基金经理的风险承担行为对于市场稳定至关重要.
- 了解这些动态对于中国的投资者和政策制定者来说至关重要.
研究的目的:
- 调查地缘政治风险对中国共同基金风险承担的动态影响.
- 分析这些影响,跨越不同的时间和基金类型.
- 为了识别这种关系随着时间的推移而发生的变化.
主要方法:
- 采用了一个具有随时变化的参数向量自回归模型与随机波动 (TVP-VAR-SV).
- 分析了三个时间地平线和三个特定时间点的冲动反应.
- 区分八种地缘政治风险和三种类型的共同基金.
主要成果:
- 直到2015年,地缘政治风险对共同基金的风险承担产生了负面影响,尤其是在短期内.
- 2015年以后,短期效应减弱,转为积极,表明对冲的改善.
- 地缘政治行动和狭风险的效果分别比威胁和广泛风险更强大.
- 与平衡基金和收益基金相比,增长基金的风险承担反应较弱.
结论:
- 共同基金经理对地缘政治风险的反应已经演变,从降低风险转向更复杂的对冲.
- 地缘政治风险的类型和基金类别显著影响风险承担反应的规模和方向.
- 金融市场的发展和多元化使得对抗地缘政治冲击的风险管理更好.
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