IDEAS home Printed from https://ideas.repec.org/a/taf/raaexx/v31y2024i3p395-422.html
   My bibliography  Save this article

A network analysis on fund portfolio mismatch and market volatility: evidence from China

Author

Listed:
  • Yuan Zhang
  • Shaoling Chen
  • Honghua Zhang

Abstract

A large number of studies suggest that network analysis can better explain the formation and contagion of financial risks. However, it’s controversial whether the financial network connection act as a booster or a stabilizer for market volatility. This paper proves that the degree of network connection is an essential factor in determining its impact on market volatility. It is found that actual industry-dimensional portfolios mismatch with the optimal portfolio constructed based on Markowitz portfolio theory, and the actual networks are over-connected by constructed the actual and optimal fund portfolio networks. Furthermore, it shows that the actual and optimal networks both act as stabilizer for market volatility, while the over-connection of networks exacerbates the market volatility and weaken the stability effect from the optimal network.

Suggested Citation

  • Yuan Zhang & Shaoling Chen & Honghua Zhang, 2024. "A network analysis on fund portfolio mismatch and market volatility: evidence from China," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 31(3), pages 395-422, May.
    • Handle: RePEc:taf:raaexx:v:31:y:2024:i:3:p:395-422
    DOI: 10.1080/16081625.2022.2147963
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/16081625.2022.2147963
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/16081625.2022.2147963?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:raaexx:v:31:y:2024:i:3:p:395-422. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/raae20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.