Measuring Systemic Risk Contribution of International Mutual Funds

Joshua Aizenman, Yothin Jinjarak and Huanhuan Zheng

No 594, ADBI Working Papers from Asian Development Bank Institute

Abstract: This study provides new evidence of systemic risk contribution in the international mutual fund sector from 2000–2011. The empirical analysis tracks the systemic risk of 10,570 mutual funds investing internationally. The main findings suggest that the systemic risk contributions of international mutual funds are more than proportional given the fund’s size. Policy implications are discussed in terms of practicality of regulation, macroprudential approach, and risk-taking behavior of fund managers.

Keywords: systemic risk contribution; systemic risk; mutual funds; international mutual funds; global financial system (search for similar items in EconPapers)
JEL-codes: E44 F30 G15 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2016-10-20
New Economics Papers: this item is included in nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:adbiwp:0594

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