Research On The Externality And Returns Of Fund Network

With the development of finance in China,investment funds have gradually become a new one in the financial market.,and the interrelation of capital market is one of the most important issues in the financial market.The interconnections of markets can form a network that significantly affects fund flows and returns.Using the data of China Securities Fund from 2015 to 2017,this paper chooses the open-ended equity fund in wind database as the research object,and constructs the network matrix of the funds based on the heavy position holding data of the funds.At the same time,based on the spatial econometric model and other traditional econometrics models,the paper further discusses the external effects of the fund flow and the influence of the external effect of the capital flow on the excess return under this kind of fund network.The results show that the capital flow of the fund has positive external effect,that is,the inflow(outflow)of the fund will cause the inflow(outflow)of the other fund.And the inflow of this kind of funds will increase the excess returns of the fund,in which the external effects of the stock fund network is the biggest impact on the excess returns.This may indicate that the external effect of the fund is due to the interaction between income and capital flow.