Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 郑环环教授 (经济学系) |
全文
| 数位物件识别号 (DOI) ○○@http://aims.cuhk.edu.hk/converis/portal/Publication/2$@○○ |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/2WOS source URL
其它资讯
摘要We study the propagation of global investment risk across markets through the granular view of institutional investors. Applying the conditional value-at-risk estimation to micro-level weekly observations of international mutual funds between http://aims.cuhk.edu.hk/converis/portal/Publication/2003 and http://aims.cuhk.edu.hk/converis/portal/Publication/2011, we find that idiosyncratic shocks to large institutional investors explain both aggregate market risk and cross-market risk interdependence. Conditional on the US capital markets being in financial distress, idiosyncratic shocks to the top 10% largest funds investing in the US explain about 40% of the risk fluctuations in other non-US markets. The findings are also economically and statistically significant for the top largest funds investing in non-US markets, with the effects becoming especially large during the global financial crisis of http://aims.cuhk.edu.hk/converis/portal/Publication/2007-09. These results are robust after controlling for common risk factors and applying alternative measures of idiosyncratic shocks. (C) http://aims.cuhk.edu.hk/converis/portal/Publication/2014 Elsevier Ltd. All rights reserved.
着者Jinjarak Y, Zheng HH
期刊名称Journal of International Money and Finance
出版年份http://aims.cuhk.edu.hk/converis/portal/Publication/2014
月份9
日期1
卷号46
出版社Elsevier
页次61 - 81
国际标準期刊号0http://aims.cuhk.edu.hk/converis/portal/Publication/261-5606
电子国际标準期刊号1873-0639
语言英式英语
关键词Financial crisis; Market interdependence; Risk propagation; Systemic risk
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE
