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

Francesco Meglioli and Stephanie Gauci

No 124, ESRB Working Paper Series from European Systemic Risk Board

Abstract: In this paper we present a new approach to analyse the interconnectedness between a macro-level 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. JEL Classification: C32, C58, G10, G23

Keywords: contagion; herding behaviour; interconnectedness; investment funds; Network model; systemic risk (search for similar items in EconPapers)
Date: 2021-08
New Economics Papers: this item is included in nep-isf, nep-net and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.esrb.europa.eu//pub/pdf/wp/esrb.wp124~0d1aaf1a99.en.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:srk:srkwps:2021124

Access Statistics for this paper

More papers in ESRB Working Paper Series from European Systemic Risk Board 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().