Research Article
Institutional Investor Information Sharing, Stock Market Extreme Risk, and Financial Systemic Risk
Table 2
The impact of fund information networks on idiosyncratic risks and extreme risks.
| | | Idio | value | VaR | value | ES | t value |
| | Degree | 0.1053 | (1.9316) | −0.0012 | (−1.7151) | −0.0011 | (−2.0967) | | Density | −1.0104 | (−1.8456) | 0.0462 | (2.6023) | 0.0399 | (2.4270) | | Asslia | 6.4355 | (1.4979) | 0.0894 | (1.9548) | 0.0999 | (2.3588) | | Holder | −0.5845 | (−4.5066) | 0.0003 | (0.1748) | −0.0007 | (−0.4429) | | Pe | −1.8E − 04 | (−0.2297) | −7.22E − 05 | (−0.9398) | −7.57E − 05 | (−1.0635) | | Lncapi | 1.2795 | (2.4647) | −0.0142 | (−2.5991) | −0.0126 | (−2.4873) | | Retcap | 0.1062 | (1.3946) | 0.0017 | (2.1773) | 0.0013 | (1.7379) | | Turnover | −0.0111 | (−3.5202) | 0.0002 | (3.6297) | 0.0002 | (3.8499) | | Momen | 3.9483 | (3.0464) | −0.0337 | (−2.4880) | −0.030 | (−2.3859) | | Willing | −0.1276 | (−0.7351) | −0.0002 | (−0.0654) | −8.19E − 04 | (−0.0518) | | Vari | | | 0.0269 | (3.7005) | 0.0029 | (1.9466) | | Adjusted R2 | 0.36 | 0.61 | 0.69 | | |
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, , and indicate statistical significance at 1%, 5%, and 10% level, respectively. |
