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The Information Linkage in the Capital Markets and Its Impact on Investment Returns——An Empirical Study from the Complex Network Prospective |
LV Kangjuan1,HUANG Li2,LU Xuan2 |
1. Sydney Institute of Language and Commerce, Shanghai University
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Abstract According to quarterly data of public offered funds from 2008 to 2012, the investment information linkage network is built in this paper in order to clarify the intrinsic relationship between the information linkage among investors and its impact on their investment returns by analyzing the bigraph and mapping transformation of the Graph Theory. This paper introduces the variable of information linkage strength and finds that the high information linkage strength has positive impact on the investment returns; the paper defines the boundary of the timing; the information linkage optimizes the investment strategies and the investors can take advantage of the information linkage to enjoy a short-term exceed earnings based on the information advantages formed by information linkage. By comparing the returns of the simulated portfolios, the paper puts forward an investment strategy with higher earnings ratio. The conclusions of this paper provide new prospective and empirical evidences for investors to learn about the mechanism between information linkage network and investment returns and improve the micro decision-making mechanism.
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Received: 26 January 2015
Published: 15 September 2015
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Corresponding Authors:
LU Xuan
E-mail: luxuan_mj@126.com
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