投资管理和内部治理是否影响基金极端风险？——基于尾部风险传染效应的研究

罗长青1; 2; 曹国广1; 傅欣欣3; 董  良1

投资管理和内部治理是否影响基金极端风险？——基于尾部风险传染效应的研究

引用本文：罗长青1,2, 曹国广1, 傅欣欣3, 董良1.投资管理和内部治理是否影响基金极端风险？——基于尾部风险传染效应的研究[J].财经理论与实践,2023,(5):41-48

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作者	单位
罗长青1,2, 曹国广1, 傅欣欣3, 董良1	(1. 湖南工商大学财政金融学院,湖南长沙 410205 2. 湖南工商大学智慧金融与科技监管研究院,湖南长沙 410205 3. 澳门科技大学商学院, 澳门 999078)

中文摘要:运用Copula-CoVaR模型和动态面板数据模型，依据2015—2021年中国基金市场数据，考量基金投资管理和内部治理对极端风险的影响。结果显示：开放式基金受极端风险的影响，形成了显著和持续的风险溢出效应；基金投资管理和内部治理特征对其极端风险影响显著；投资集中度降低了基金极端风险；主动投资行为、资金流入量、经理人数量、经理投资年限、成本率、公司规模等会增大其极端风险；按照历史业绩、投资风格、行业主题对基金分组，极端风险影响因素在组内和组间呈现出一定的异质性。

中文关键词:极端风险风险传染投资管理内部治理开放式基金

Do Investment Management and Internal Governance of Mutual Fund Affect Its Extreme Risk? :An Empirical Study Based on Tail Risk Contagion Effect

Abstract:The extreme risk of the mutual fund industry is related to the benefits of the residents and the normal function of capital markets. Based on the microscopic characteristics of mutual funds, we study the mechanism of how fund operational characteristic factors affect extreme risk contagion. This paper applies Copula-CoVaR models to empirically examine the investment and internal governance factors that affect mutual fund extreme risk using mutual fund data from 2015 to 2021 in China’s financial market. The empirical study shows that open-end equity mutual funds are significantly and persistently affected by extreme risk contagion. In addition, the management and investment characteristics significantly affect the extreme risk of mutual funds: investment concentration can lower the extreme risk, while capital inflow, number of fund managers, cost rate, fund company scale, and managers’ years of investment increase the extreme risk. Meanwhile, after dividing the sample into different groups according to historical performance, investment styles, and themes, the influencing factors of mutual fund extreme risk show heterogeneity within groups and across groups.

keywords:extreme risk risk contagion operational management internal management mutual fund

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