EconPapers    
Economics at your fingertips  
 

Hedge Fund Styles and their Contagion from the Equity Market

Hee Soo Lee and Tae Yoon Kim

International Review of Finance, 2018, vol. 18, issue 1, 91-112

Abstract: We examine the dynamic contagion process of the equity market on 10 hedge fund styles. We investigate the contagion mechanism for each style using single equation error correction and latent factor models. We find that the contagion effects of the equity market on each style index depend specifically on the fund style strategy. We demonstrate that certain fund styles are more prone to contagion from the equity market than others. Our results help illuminate the relative effectiveness of a particular strategy under certain market conditions and provide insights into the long†standing controversy around the efficient market hypothesis.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/irfi.12141

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:bla:irvfin:v:18:y:2018:i:1:p:91-112

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1369-412X

Access Statistics for this article

International Review of Finance is currently edited by Bruce D. Grundy, Naifu Chen, Ming Huang, Takao Kobayashi and Sheridan Titman

More articles in International Review of Finance from International Review of Finance Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2019-06-08
Handle: RePEc:bla:irvfin:v:18:y:2018:i:1:p:91-112