Non-alternative collective investment schemes, connectedness and systemic risk

Ramiro Losada and Ricardo Laborda

CNMV Working Papers from CNMV- Spanish Securities Markets Commission - Research and Statistics Department

Abstract: This paper analyses the connectedness among non-alternative collective investment schemes and with their underlying securities markets. The results show that non-alternative collective investment schemes should not be taken as important in terms of propa-gation of shocks and they may play a limited role from a systemic point view, an outcome that may be confirmed by the second main result of the paper. There is not a long run relationship (cointegration) between the connectedness from non-alternative collective schemes with their underlying markets and the financial systemic risk. On the other hand, in the short run, the way that a negative shock in the financial systemic risk causes an increase in the level of connectedness is shown although the opposite cannot be said; a negative shock in the level of connectedness does not cause a rise in the measure of the financial systemic risk.

Keywords: Connectedness; investment schemes; UCITS; securities markets; systemic risk (search for similar items in EconPapers)
JEL-codes: C53 G18 G23 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-cfn and nep-rmg
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