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Risks and vulnerabilities in the U.S. bond mutual fund industry
Bouveret, Antoine; Yu, Jie - 2021
This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify...
Persistent link: https://www.econbiz.de/10012605013
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The Ties That Bind : Measuring International Bond Spillovers Using the Inflation-Indexed Bond Yields
Swiston, Andrew - 2007
This paper explores international bond spillovers using daily and intra-day data on yields on inflation-indexed bonds and associated inflation expectations for the United States, Australia, Canada, France, Sweden, Japan, and the United Kingdom. The analysis starts in 2002, by which point U.S....
Persistent link: https://www.econbiz.de/10014400687
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A comprehensive multi-sector tool for analysis of Systemic Risk and Interconnectedness (SyRIN)
Cortes, Fabio; Lindner, Peter; Malik, Sheheryar; … - 2017
This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to interconnectedness structures across banks and other financial intermediaries-insurance,...
Persistent link: https://www.econbiz.de/10011799332
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The Egyptian Stock Market : Efficiency Tests and Volatility Effects
Mecagni, Mauro - 1999
pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the … returns to exhibit volatility clustering; and a significant positive link between risk and returns, which was significantly …
Persistent link: https://www.econbiz.de/10014403463
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Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine - 2003
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …
Persistent link: https://www.econbiz.de/10014400143
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Changes in the global investor base and the stability of portfolio flows to emerging markets
Brandao Marques, Luis; Gelos, Gaston; Ichiue, Hibiki; … - 2015
An analysis of mutual-fund-level flow data into EM bond and equity markets confirms that different types of funds behave differently. Bond funds are more sensitive to global factors and engage more in return chasing than equity funds. Flows from retail, open-end, and offshore funds are more...
Persistent link: https://www.econbiz.de/10011445594
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Are passive institutional investors engaged monitors or risk-averse owners? : both!
Yang, Yuanchen - 2021
We differentiate the effects of passive institutional investors, which mainly refer to index funds that adopt a passive portfolio strategy, on firms' innovation activities and innovation strategies. Relying on plausibly exogenous variation in passive institutional ownership generated by Russell...
Persistent link: https://www.econbiz.de/10012612334
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U.S. Mutual Fund Retail Investors in International Equity Markets : Is the Tail Wagging the Dog?
Chan-Lau, Jorge A. - 2005
Do the dynamics of net flows to U.S. retail mutual funds affect equity returns in emerging markets? The question merits further examination since retail investors in mutual funds can exert a much greater degree of ""control"" over these funds via cash injections or redemptions at any time. A VAR...
Persistent link: https://www.econbiz.de/10014404228
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International mutual funds, capital flow volatility, and contagion : a survey
Gelos, Gaston - 2011
Persistent link: https://www.econbiz.de/10009486299
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International Mutual Funds, Capital Flow Volatility, and Contagion-A Survey
Gelos, Gaston - 2011
Gaining a better understanding of the behavior of international investors is key for informing the debate about the optimal response to capital flows and about reforms to the international financial architecture. In this context, recent research on the behavior of international mutual funds at...
Persistent link: https://www.econbiz.de/10014400976