Fund Network,Bubble Ratio And Investment Performance

There is an information network formed by information interaction among funds,through which funds can influence their investment behavior and performance.Previous studies have investigated the influence of fund network on fund performance,but there are shortcomings in the following three aspects:(1)The construction of fund network is mostly powerless network,which cannot reflect the difference in the closeness of connections between directly connected nodes,and is not accurate enough in the construction of information network.(2)It ignores the investigation of decomposition indicators of the total fund performance,which can be decomposed into performance decomposition indicators with different economic meanings,such as stock selection ability,timing ability,style return,etc.,which should also be specially investigated in the study of the impact of fund network on investment performance.(3)We ignore the investigation of location characteristic indexes with different economic meanings in the fund network,such as proximity centrality,intermediary centrality and feature vector centrality,etc.,which should be investigated separately.Based on the above research deficiencies,this paper constructs the shareholding network of the empowerment fund,and then discusses the influence of the proximity centrality,intermediary centrality and feature vector centrality of the fund network on the total investment performance as well as the performance decomposition indexes of timing ability,stock selection ability and style return.Based on the panel data of semi-annual heavy position holdings of funds from June 2005 to December2021,the semi-annual heavy position holdings network of empowered funds is constructed.The findings are as follows:(1)Funds with more direct network relations have higher information transmission efficiency(close to centrality),can make timely and effective investment decisions to improve investment performance,and improve the fund’s stock selection ability,timing ability and style return.(2)Funds that are in the key position of network information transmission and tend to actively transmit information(intermediary centrality)can make more effective investment decisions in the process of information transmission,and are more inclined to transmit information favorable to themselves in the process of active information transmission,so as to improve the investment performance and timing ability of funds by influencing the investment decisions of other funds in the network.(3)Funds that are more closely connected with the funds in the center of the network and have more extensive network relationships(eigenvector centrality)enjoy more private information,which can help improve fund performance,stock selection ability and timing ability.After that,through the construction of quarterly weighted heavy position holding network and quarterly non-weighted heavy position holding network analysis,the results are still robust.This paper further investigates the role of fund holding bubbles in the influence of fund network centrality on investment performance.Through the examination of the bubble mediating effect of fund holdings,it is found that funds with higher centrality,intermediate centrality and feature vector centrality can improve part of the investment performance and enhance the stock selection ability and style return of the fund by holding excess bubble stocks,but cannot improve the timing ability of the fund by holding excess bubble stocks.In the test of the possible moderating effect of the fund holding bubble,it is found that the holding bubble will weaken the promoting effect of proximity centrality on the total performance index and stock selection ability and the promoting effect of intermediary centrality on stock selection ability,but will enhance the promoting effect of weighted feature vector centrality on the total investment performance.In general,from the research on bubble holdings,funds with more centrality of fund network can improve fund investment performance by holding excess bubble stocks,and funds with more centrality of fund network have incentives to hold excess bubble stocks.To sum up,the main contribution of this paper is to expand the relevant research on fund investment performance improvement through fund network information advantages.(1)The paper constructs an empowerment and heavy position shareholding network that reflects the information about the closeness of the directly connected funds in the network,and more accurately describes the fund information exchange network.(2)The centrality index describing the characteristics of different network locations,the total fund performance index and the performance decomposition index were investigated respectively.(3)Investigate the role of fund holding bubbles in the influence of fund network centrality on investment performance.Finally,according to the conclusions of this paper,some suggestions are put forward for fund managers’ investment decisions,individual investors’ investment strategies and financial supervision departments’ prevention of financial risks.