网络传染是“真羊群”还是“伪羊群”?——网络传染程度对资本市场定价效率的影响

基金经理在选股时是否具有独立性以及是否能发挥其专业职能发掘更多企业特质信息对基金经理能力评估以及稳定我国资本市场具有重要意义。为研究基金经理在重仓股配置上的网络传染现象是否能向市场传递企业特质信息进而提高定价效率，本文以我国2006年至2018年开放式基金季度数据为样本，构建了一种新型的投资关系网络—"基金持仓变动相似性多值符号网络"，研究了残差网络聚类系数与股价同步性的关系。研究结果表明，当前我国基金经理在重仓股的选择和资金配置上具有较强的模仿关系和稳定的相似性网络结构，基金持仓变动相似性网络中不存在私有信息和行业信息传递，网络传染现象降低了市场的定价效率。本文研究结论对有效识别基金经理的羊群行为以及防范相关风险等具有重要的理论和现实意义。

Is It “Intentional Herding” or “Spurious Herding”? The Influence of Network Contagion Degree on the Pricing Efficiency of Capital Market

It is of great significance to examine whether fund managers have independence in the stock selection and can make contributions to identifying and delivering firm-specific information to improve market efficiency relying on their professional skills. To find the effect of network contagion on stock pricing efficiency, the open-end fund quarterly data with the period of 2006-2018 are chosen as samples, building a new kind of fund investment relationship network which calls "a multi-valued signed network based on similarity in fund position changing" and the relationship between clustering coefficient and stock price is examined synchronicity. At the same time, it was also verified whether there is a difference in the relationship between network contagion and stock-cum-synchronization under the conditions of different fund shareholding ratio, different market situation, and different analysts' attention. The results indicate that fund managers in China have strong imitation relationships on bulk-holding stocks selection and stable structures of similarity network. No private information or industry information sharing in the network, the network contagion reduces the pricing efficiency in the stock market and it was "intentional herding". This paper has both theoretical and practical significance on how to effectively identify the herd behavior of fund managers and prevent related risks.