| id |
eprints-18298
|
| recordtype |
eprints
|
| institution |
SOAS, University of London
|
| collection |
SOAS Research Online
|
| language |
English
|
| language_search |
English
|
| description |
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.
|
| format |
Journal Article
|
| author |
Jinjarak, Yothin
|
| author_facet |
Jinjarak, Yothin
Zheng, Huanhuan
|
| authorStr |
Jinjarak, Yothin
|
| author_letter |
Jinjarak, Yothin
|
| author2 |
Zheng, Huanhuan
|
| author2Str |
Zheng, Huanhuan
|
| title |
Granular Institutional Investors and Global Market Interdependence
|
| publisher |
Elsevier
|
| publishDate |
2014
|
| url |
https://eprints.soas.ac.uk/18298/
|
