Jinjarak, Yothin and Zheng, Huanhuan (2014) 'Granular Institutional Investors and Global Market Interdependence.' Journal of International Money and Finance, 46. pp. 61-81.
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Abstract
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 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 2007–09. These results are robust after controlling for common risk factors and applying alternative measures of idiosyncratic shocks.
| Item Type: | Journal Article |
|---|---|
| SOAS Departments & Centres: | Legacy Departments > Faculty of Law and Social Sciences > School of Finance and Management Legacy Departments > Faculty of Law and Social Sciences > School of Finance and Management > Centre for Financial and Management Studies (CeFiMS) |
| ISSN: | 02615606 |
| DOI (Digital Object Identifier): | https://doi.org/10.1016/j.jimonfin.2014.03.007 |
| Date Deposited: | 31 Mar 2014 14:00 |
| URI: | https://eprints.soas.ac.uk/id/eprint/18298 |
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