Hedge funds risk and connectedness

Manicaro, Christian; Falzon, Joseph

doi:10.1057/s41260-016-0025-4

Cited by 1 publication

(1 citation statement)

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“…Through the Diebold and Yilmaz methodology it is possible to analyse the interlinkages in the investment funds sector even when granular data on exposures is not available. The application of the Diebold and Yilmaz methodology in the context of investment funds is relatively new, with just a few examples in recent years (among the few, Manicaro and Falzon (2017), Meglioli (2019) and ESMA (2020)). In this paper we study the relationship between the correlation structure of domestic funds and the spillovers which they receive and transmit.…”

Section: Introductionmentioning

confidence: 99%

A Multi-Level Network Approach to Spillovers Analysis: An Application to the Maltese Domestic Investment Funds Sector

Meglioli

Gauci

2021

SSRN Journal

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In this paper we present a new approach to analyse the interconnectedness between a macrolevel network and a local-level network. Our methodology is developed on the Diebold and Yilmaz connectedness measure and it considers the presence of entities within a global network which can influence other entities within their own local network but are not relevant enough to influence the entities which do not belong to the same local network. This methodology is then applied to the Maltese domestic investment funds sector and we find that a high-level correlation between the domestic funds can transmit higher spillovers to the local stock exchange index and to the government bond secondary market prices. Moreover, a high correlation among the Maltese domestic investment funds can increase their vulnerability to shocks stemming from financial indices, and therefore, investment funds may potentially become a shock transmission channel.

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Section: Introductionmentioning

confidence: 99%