基金系统性风险影响因素研究

Research on Factors Influencing the Systemic Risk of Funds

摘要: 中国公募基金投资者中个体投资者约99.7%，然而个体投资者更容易受到外部环境及情绪的影响，使得在市场面临冲击时产生大量赎回需求，从而增加引发系统性风险的可能。本文首先定义基金间风险敞口，使用DebtRank算法对基金系统性风险进行评估。同时从基金个体、基金市场以及外部环境三个层面选取5个可能对基金系统性风险产生影响的因素。并使用2007~2022年中国股票型基金数据建立固定效应回归模型研究基金系统性风险的影响因素。结果发现系统重要性和脆弱性以及股票市场波动率对基金系统性风险有着正显著作用，而基金规模和基金净值收益率对基金系统性风险有着负向作用。该结果在进行了Heckman两阶段检验后依然成立。本研究为防范基金系统性风险提供一定的决策依据。

Abstract: Individual investors make up approximately 99.7% of public fund investors in China. Nevertheless, such investors are more vulnerable to external factors and emotional reactions, which can lead to significant redemption demands during market shocks and elevate the chance of triggering systemic risk. This study defines inter-fund risk exposure and employs the DebtRank algorithm to evaluate the systematic risk of funds. It selects five potential factors that affect fund systematic risk across three levels: individual funds, the fund market, and external environment. Additionally, a fixed-effects regression model is created to investigate factors that influence fund systematic risk using Chinese equity fund data from 2007 to 2022. The findings indicate that systemic importance, vulnerability, and stock market volatility positively and significantly influence fund systematic risk, whereas fund size and fund NAV return negatively affect fund systematic risk. The result remains consistent after conducting the Heckman two-stage test. This study provides some basis for decision-making to prevent systemic risk in the fund.