Original scientific paper
https://doi.org/10.1080/1331677X.2021.2013271
Institutional investor network, analyst public information and extreme risks
Xiao-Li Gong
Zhi-Qiang Du
Abstract
This paper builds the institutional investor network on the basis
of the common stock holdings of mutual funds with large positions. Institutional investors share and interact private information
through social networks. Seen from separating private and public
information, the effects of private information sharing in institutional investor networks and the effects of public information diffusion on extreme risks are examined, respectively. Then, the
integrated impact of institutional investor information sharing
with analyst on extreme risks is analysed. Empirical research has
found that analyst public information spread will decrease the
probability of extreme risks. The information sharing in social network of institutional investors will restrain stock market extreme
risks. The closer network of institutional investors lower the influence of analyst public information on extreme risks. In addition,
we also found that stock liquidity has weakened the inhibition of
fund network information sharing on extreme risks. The research
results provide reference for the authorities to regulate market
participant behaviours so as to avoid risks.
Keywords
Fund information network; analyst public information; extreme risks
Hrčak ID:
302702
URI
Publication date:
31.3.2023.
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