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2013 | WPS 3/2013 | 1-13
Article title

The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility

Content
Title variants
Languages of publication
EN
Abstracts
EN
Article aims to demonstrate the significant impact of dynamics of the relationship between financial intermediaries on the level of market volatility. Particularly important are the growing share of the links between hedge funds and other financial institutions. In order to demonstrate the dynamic test was presented Granger causality, which allows the statistical analysis of cause and effect relationships in the risk spread in the financial system. Using multiple regression analysis study was calculated the impact of the hedge fund market development (measured in assets, leverage, the price volatility in various financial markets). Due to data availability study has been limited to 10-year period of analysis (2001-2011). The results show a significant correlation between the volatility in the stock market, bonds and CDS, and the activities of hedge funds on financial markets.
Year
Issue
Pages
1-13
Physical description
Dates
online
2014-10-16
Contributors
  • University of Warsaw, Faculty of Management Poland
References
  • Billio M., Getmansky M., Lo A. W., Pelizzon L. (2010), Econometric measures of systemic risk in the finance and insurance sectors, NBER Working Paper, No 16223, July.
  • Cao Ch., Chang E. C., Wang Y. (2008). An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility, Journal of Banking & Finance, Volume 32, Issue 10, October, Pages 2111-2123.
  • Eichengreen B., Matchieson D., Chandha B., Jensen A., Kodres L., Sharma S. (1998), Hedge funds and financial markets dynamic, IMF Occasional Paper, No 166, May.
  • European Central Bank (ECB), (2008), Large EU banks’ exposures to hedge funds, November.
  • Fung W., Hsieh D. A., (2000), Measuring the market impact of hedge funds, Journal of Empirical Finance, No 7.
  • Karkowska R. (2011), Hedge funds - identification of risk and investment opportunities. Economy, society and managing, p. 200-213, WZ UW.
  • Kot S., Jakubowski J., Sokołowski A., (2011), Statistica, Difin, Warsaw. Financial Services Authority: Assessing the possible sources of systemic risk from hedge funds, A report on the findings of the FSA’s Hedge Fund Survey and Hedge Fund as Counterparty Survey, February, 2012.
  • Singh M., (2012), The (Other) Deleveraging, IMF Working Paper, July.
Document Type
Publication order reference
Identifiers
ISSN
2300-4371
YADDA identifier
bwmeta1.element.desklight-56390448-cc0d-4767-9bf2-ee6a04ffb71b
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