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

• Authors: Karkowska Renata
• 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.

Keywords

EN

financial market; hedge fund; market instability; volatility

• Publisher: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
• Journal: Faculty of Management Working Paper Series
• Year: 2013
• Issue: WPS 3/2013
• Pages: 1-13

Dates

online

2014-10-16

Contributors

author

Karkowska Renata

• University of Warsaw, Faculty of Management Poland

References

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Identifiers

ISSN

2300-4371