The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility

Renata Karkowska

MPRA Paper from University Library of Munich, Germany

Abstract: Article aims to demonstrate the significant impact of dynamics of the relationship between financial intermediaries on the level of market volatility. Particularly important are the growing share of the links between hedge funds and other financial institutions. In order to demonstrate the dynamic test was presented Granger causality, which allows the statistical analysis of cause and effect relationships in the risk spread in the financial system. Using multiple regression analysis study was calculated the impact of the hedge fund market development measured in assets, leverage, the price volatility in various financial markets). Due to data availability study has been limited to 10-year period of analysis (2001-2011). The results show a significant correlation between the volatility in the stock market, bonds and CDS, and the activities of hedge funds on financial markets.

Keywords: financial market; hedge fund; market instability; volatility (search for similar items in EconPapers)
JEL-codes: A10 C58 G12 G15 G23 G24 (search for similar items in EconPapers)
Date: 2013-10
New Economics Papers: this item is included in nep-cfn and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Faculty of Management Working Paper Series No 3/ 2013.No 3(2013): pp. 1-13

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Related works:
Working Paper: The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility (2013)
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