Unit root tests.

Based on a time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV), this paper investigates the dynamic effects of geopolitical risk on mutual fund risk taking in China across three-time horizons and at three selected time points. Overall, the impulse responses are time-varying and we find a negative effect of geopolitical risk on mutual fund risk taking until 2015, with the short-term effect being the most pronounced, suggesting that when professional investors such as mutual fund managers are faced with the stock valuation uncertainty due to a geopolitical shock, they choose to reduce market risk exposures. After 2015, the short-term effect begins to diminish and gradually turns positive, which could be explained by the fact that with the increasing abundance and diversification of investment instruments, fund managers have more effective investment tools and more sophisticated trading strategies to hedge against geopolitical risk, rather than reducing market risk exposure. Further, we explore the heterogeneous effects of eight types of geopolitical risk and three types of mutual fund. The results indicate that the effect of geopolitical actions is stronger than that of geopolitical threats, while the effect of narrow geopolitical risk is stronger than that of broad geopolitical risk. Moreover, we find that the response of the risk taking of growth funds to the geopolitical risk is weaker than that of balanced and income funds.

本研究基于带随机波动率的时变参数向量自回归模型（time-varying parameter vector autoregression model with stochastic volatility，TVP-VAR-SV），选取三个时间维度与三个选定时间节点，探究地缘政治风险对中国共同基金（mutual fund）风险承担的动态影响。整体而言，脉冲响应呈现时变特征：2015年之前，地缘政治风险对共同基金风险承担存在负向影响，其中短期效应最为显著，这表明当共同基金经理等专业投资者遭遇地缘政治冲击引发的股票估值不确定性时，会选择降低市场风险敞口。2015年之后，短期效应逐渐减弱并逐步转为正向，这可归因于：随着投资工具日益丰富与多元化，基金经理拥有了更有效的投资工具与更成熟的交易策略以对冲地缘政治风险，而非单纯降低市场风险敞口。进一步地，本研究探讨了八类地缘政治风险与三类共同基金的异质性效应。结果显示，地缘政治行动的影响强度高于地缘政治威胁，且狭义地缘政治风险的影响强于广义地缘政治风险。此外，成长型共同基金的风险承担对地缘政治风险的响应弱于平衡型与收入型共同基金。