Jinjarak, Yothin; Zheng, Huanhuan - In: Journal of International Money and Finance 46 (2014) C, pp. 61-81
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 2003 and 2011, we find that idiosyncratic shocks to...