What influences portfolio contagion among open-end mutual funds?

Junbin Liu, Xiaoxing Liu and Guangping Shi

Finance Research Letters, 2019, vol. 30, issue C, 145-152

Abstract: This paper investigates the time-varying impacts of macroeconomic factors on portfolio contagion. Mining and using overlapping portfolio data covering more than 600 open-end mutual funds and 1900 stocks in China's stock market from 2007 to 2015, we construct a directed weighted network and calculate its degree of portfolio contagion. The time-varying parameter VAR model with stochastic volatility (TVP-VAR-SV model) using the stochastic model specification search (SMSS) method is applied to explore the impacts. We find that the stock market cycle and the investor sentiment show a more significantly positive time-varying impact on portfolio contagion during periods of stability. The volatility of portfolio contagion is greater during financial environment turmoil.

Keywords: Mutual funds network; Portfolio contagion; SMSS-TVP-VAR-SV model (search for similar items in EconPapers)
JEL-codes: C32 D85 E44 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:145-152

DOI: 10.1016/j.frl.2018.06.011

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