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滚球体育:基金持股与DEA效率:网络视角下的研究

发布时间:2023-11-13????????浏览量:29

时间:2023年11月15日(星期三)14:00-15:00

地点:经管大楼A楼 四楼第二会议室报告厅

主题:基金持股与DEA效率:网络视角下的研究Mutual Fund Shareholdings and DEA Performance: A Network Perspective

主讲人:李冰(滚球体育)

简介:李冰,滚球体育副教授,东京工业大学博士,复旦大学金融研究中心博士后,澳大利亚西澳大学商学院访问学者。主要研究领域包括经济网络、金融市场与机构、国际投资、量化投资、绿色金融与创新等。

Bing LI, Associate Professor of Finance at the Business School of the University of Shanghai for Science and Technology. He got his doctoral degree from Tokyo Institute of Technology, and he was a postdoctoral researcher at the Financial Research Center of Fudan University and a visiting scholar at the Business School of University of Western Australia. His main research areas include economic networks, financial markets and institutions, international investment, quantitative investment, green finance and innovation.

摘要:聚焦公募基金市。颐茄芯苛顺止赏缬牖鹦手涞墓叵。持股网络基于基金的重仓持股数据构建, 基金效率采用DEA模型测算。研究结果表明,在持股网络中的中心度越高,基金效率越高。进一步,我们研究了网络中心度提升基金效率的信息机制,即信息获取效应和信息传递效应。实证结果表明,基金网络中的较高的中心度可使持股公司的股价具有较低的市场同步性,表明基金可以获取并提供给市场更多关于持股公司的特质信息;较高中心度基金的交易行为,会被较低中心度基金跟随,表明两者之间存在信息传递。研究可为监管机构、基金经理和个人投资者提供决策参考。

We focus on the Chinese mutual fund market to study the relationship between mutual funds’ shareholding network and their efficiency. The shareholding network is constructed based on the fund’s shareholding data and the fund’s efficiency is measured by the DEA model. The research results indicate that the higher the centrality in the shareholding network, the higher the efficiency of the fund. Furthermore, we investigated the information mechanisms by which network centrality enhances fund efficiency, namely the information access effect and the information transmission effect. The empirical results show that a higher centrality in the fund network can result in lower market synchronicity for the investee company’s stock price, indicating that the fund can acquire and provide more firm-specific information to the market; the trading behavior of higher centrality funds can be followed by the lower centrality funds, indicating the information transmission channel between them. The research can provide decision-making references for regulatory agencies, fund managers, and individual investors.


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