摘要
基于从发现投资机会的视角来解释基金的频繁交易对基金业绩影响的新理论,本文对基金周转率的传染机制、基金业绩波动的联动效应以及基金周转率对其他基金业绩波动产生的溢出效应进行理论和实证分析。借鉴SIR模型的思路,基于基金经理的社会网络构建Fund SIR模型的分析框架进行理论分析。研究结果表明:(1)基金经理可以提前获取投资信息来指导其实际的投资决策;(2)基于基金经理的社会网络,处于同一社会网络下的基金周转率具有传染性,业绩波动具有联动效应;(3)处于越多维度的关系网络下的基金周转率传染性和基金业绩联动效应越明显;(4)基金周转率不仅会对其业绩波动产生影响,而且还会对处于同一社会网络下的其他基金的业绩波动产生溢出效应;(5)基金业绩波动与基金经理的社会网络规模呈现倒"U"型关系。
Based on the new theory of finding investment opportunities to explain the Fund＇s frequent transactions on the Fund＇s performance, this paper makes a theoretical and empirical analysis on the mechanism of fund turnover, the linkage effect of fund performance fluctuation and the spillover effect of fund turnover on fund performance. Following the idea of SIR model, the paper makes theoretical analyze using the Fund SIR model that is based on fund managers＇ social network. The theoretical and empirical results show that：（ 1 ）fund managers can obtain investment information in advance to guide their actual investment decisions ; （2） based on the social network of fund managers, the fund turnover under the same social network is infectious, and the fund performance fluctuation has the linkage effect ; （3） the relationship between infectivity of fund turnover in multiple dimension of social network and the fund performance linkage effect is more obvious; （4） fund turnover will not only affect its performance fluctuations, but also produce spillover effect on performance of other fund fluctuations which in the same social network; （5） fund performance fluctuations and scales of fund managers＇ social network present a relationship of the inverted ＂U＂ type.
出处
《财贸经济》
CSSCI
北大核心
2018年第1期70-83,共14页
Finance & Trade Economics
基金
华侨大学研究生科研创新能力培育计划资助项目
关键词
基金周转率
基金业绩波动
SIR模型
溢出效应
联动效应
Infectious Fund Turnover, Fund Performance Fluctuation, SIR Model, Spillover Effect, Linkage Effect
