Division of Business Administration, Chosun University, Gwangju, Republic of Korea.
PLoS One. 2023 Oct 18;18(10):e0292795. doi: 10.1371/journal.pone.0292795. eCollection 2023.
This paper suggests an alternative approach to measuring systemic risk in financial markets by examining the interconnectedness among heterogeneous investors. Utilizing variance decomposition and a trading database from the Korea Stock Exchange spanning 2002-2018, we find that systemic risk, as quantified by total connectedness based on microlevel investor activity, intensifies during both domestic and global financial crises. In addition, our analysis indicates that retail investors, often termed noise traders, are pivotal contributors to the propagation of financial shocks. We also find that portfolios constructed by the sensitivity of total connectedness yield additional returns. This study could enhance our understanding of the contagion effect by incorporating the investor perspective, and the findings could offer valuable insights for policy-makers and regulators.
本文提出了一种通过考察异质投资者之间的互联性来衡量金融市场系统性风险的替代方法。利用韩国证券交易所 2002-2018 年的方差分解和交易数据库，我们发现，通过基于微观层面投资者活动的总联系度来衡量的系统性风险，在国内和全球金融危机期间加剧。此外，我们的分析表明，通常被称为噪声交易者的散户投资者是金融冲击传播的关键贡献者。我们还发现，基于总联系度敏感性构建的投资组合可以产生额外收益。本研究通过纳入投资者视角，可以增进我们对传染效应的理解，研究结果可为政策制定者和监管者提供有价值的见解。
