Research Article
Institutional Investor Information Sharing, Stock Market Extreme Risk, and Financial Systemic Risk
Table 3
The impact of fund information network on systemic risk.
| | | CoVaR | value | MES | value |
| | Degree | −0.0011 | (−2.2873) | −0.0012 | (−1.9013) | | Density | 0.0385 | (2.3972) | 0.0579 | (2.5451) | | Asslia | 0.0962 | (2.3279) | 0.1139 | (1.9391) | | Holder | −0.0005 | (−0.3875) | 0.0003 | (0.1695) | | Pe | −7.5E − 05 | (−1.0802) | −9.71E − 05 | (−0.9854) | | Lncapi | −0.0129 | (−2.6001) | −0.0189 | (−2.6887) | | Retcap | 0.0011 | (1.7113) | 0.0021 | (2.1298) | | Turnover | 0.0002 | (3.5983) | 0.0002 | (3.4348) | | Momen | −0.0275 | (−2.2469) | −0.0416 | (−2.3984) | | Willing | 0.0005 | (0.3683) | 0.0005 | (0.2371) | | Vari | 0.0025 | (1.6923) | 0.0022 | (1.0626) | | Adjusted R2 | 0.65 | 0.59 | |
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, , and indicate statistical significance at 1%, 5%, and 10% level, respectively. |
