The existing literature finds conflicting results on the magnitude of price linkages between equity mutual funds and the stock market. The study contends that in an optimal lagged model, the expectations of future prices using knowledge of past price behaviour in a particular equity mutual fund...

This paper investigates the propagation of instability through key asset markets of the US financial system - equity, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method to uncover characteristic financial market...