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文章根据2008-2012年公募基金季报数据,通过图论中偶图及其映射变换,构建了投资者信息关联网络,从理论上阐释了信息关联的内涵及其对投资收益的影响。在研究中引入信息关联强度变量,发现在信息关联强度高时,对投资收益具有正向促进作用,并界定了信息关联效应的"时效边界"。研究还发现,信息关联优化了投资策略,投资者可以运用信息关联渠道形成的信息优势,在短期内获得超额收益。文章在模拟不同投资组合的基础上提出了一个可以获得更高收益的投资策略。文章的结论也为投资者了解关联网络对投资效益的溢出贡献,完善微观决策机制,提供了新的视角和实证支持。
Abstract：According to quarterly data of public offered funds from 2008 to 2012,the investment information linkage network is built in this paper in order to clarify the intrinsic relationship between the information linkage among investors and its impact on their investment returns by analyzing the bigraph and mapping transformation of the Graph Theory. This paper introduces the variable of information linkage strength and finds that the high information linkage strength has positive impact on the investment returns; the paper defines the boundary of the timing; the information linkage optimizes the investment strategies and the investors can take advantage of the information linkage to enjoy a short-term exceed earnings based on the information advantages formed by information linkage. By comparing the returns of the simulated portfolios,the paper puts forward an investment strategy with higher earnings ratio. The conclusions of this paper provide new prospective and empirical evidences for investors to learn about the mechanism between information linkage network and investment returns and improve the micro decision-making mechanism.
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①我们选取股票型基金的原因在于其股票投资仓位最高,主动搜索信息意愿高,能够清晰反映信息网络与投资行为间的关系。
②特别地,应用复杂网络技术得到的基金信息关联网络,是真实信息关联网络的一个最大似然估计。对此,Ozsoylev和Walden(2011)给出了一个描述性证明[31]。具体可参见该文的相关分析。
①如果基金i有多个总部地址,则分别计算各总部与基金j之间的地缘距离,并取均值作为基金i、j间的地缘距离度量。
①我们同样考虑了交易行为的情境,均得到类似实证结果。由于篇幅所限,故不予列示。
①我们同时也绘制了模拟强/弱关联组合的经风险调整投资收益率,均得到类似分布模式。由于篇幅所限,故不予列示。
①为剔除由于随机性带来的系数波动,我们重复构建了1,000个Erdos-Renyi网络,并定义信息网络“对应Erdos-Renyi网络”的节点连结匹配率,是上述1,000个网络相应数值的均值。
①我们同样考虑了经风险调整后的投资收益,得到类似实证结果,由于篇幅所限,故不予列示。
基本信息:
DOI：10.14134/j.cnki.cn33-1336/f.2015.09.009
中图分类号:F832.51
引用信息:
[1]吕康娟,黄俐,陆煊.资本市场中的信息关联及其对投资收益的影响——基于复杂网络视角的实证研究[J].商业经济与管理,2015,No.287(09):76-88.DOI:10.14134/j.cnki.cn33-1336/f.2015.09.009.
2015-09-15
2015-09-15