Leaders and followers in mutual funds: A dynamic Bayesian approach

Laura Andreu, José L. Sarto, Pilar Gargallo and Manuel Salvador

Applied Stochastic Models in Business and Industry, 2020, vol. 36, issue 4, 679-695

Abstract: This article proposes a dynamic Bayesian framework to analyze the leadership relationships between mutual funds. To this end, a two‐step procedure is proposed. First, a Bayesian rolling window based on the Capital Asset Pricing Model is used to estimate the evolution of mutual funds' market exposure over time. Then, a vector autoregressive (VAR) model is used to analyze the leader‐follower relationship between pair of mutual funds. Several leadership measures are studied. An application to Spanish mutual funds is carried out. In addition, the study examines the determining factors of mutual fund leadership.

Date: 2020
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https://doi.org/10.1002/asmb.2524

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:36:y:2020:i:4:p:679-695

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