Characteristics Of Stock Information Network、Stock Volatility And Jump Risk

This paper uses the fond’s common stock holdings as a link to build the fund’s information network and the stock information network.First,we validate the existence of the fund information network through the empirical research on the correlated trading behavior in the network.We find that there are significant positive correlations with the funds’ transaction behavior in the fund network,and the funds holding the same stock tend to buy or sell the stock together.Funds are indeed sharing information and trading through information network,especially when they hold a stock for the first time.Then,this paper focus on the impacts of the centrality and density of the stock network on the volatility risk and jump risk of the stock return.First,we use the return standard deviation and idiosyncratic volatility to regress on the network density and centrality.Secondly,we use the skewness and the frequency and magnitude of jump risk to return to regress on the density and centrality of the stock network.The results show that after controlling other characteristics,with the increase of the center and density of individual stocks,the risk of individual stocks is also significantly larger,so the center and density of the network can effectively predict stock fluctuations risk.As the existence of fund information network,institutional investors who share the same private information tend to make the same investment decision.And the higher the center of the information network,the less source of information,the higher the network density,the higher the network efficiency of information transmission,so the volatility of individual stocks and the jump risk are also higher.In the robustness test,we have done a sub-sample test based on time division and reconstructed the weighted fund network and the stock network based on the strength of the common share holdings between the funds.The results still support our conclusion.The research of this paper enriches the literature related to the risk of the social information network and provides empirical evidence for the relationship between the social information network structure and the stock price risk.On the basis of the empirical research results,The center degree and density can effectively predict the risk and jump risk,which is of great significance in the portfolio risk management.