Can Portfolio Diversification increase Systemic Risk? Evidence from the U.S and European Mutual Funds Market
Claudio Dicembrino () and
Pasquale Scandizzo ()
No 240, CEIS Research Paper from Tor Vergata University, CEIS
This paper tests the hypothesis that portfolio diversification can increase the threat of systemic financial risk. The paper provides first a theoretical rationale for the possibility that systemic risk may be increased by the proliferation of financial instruments that lead operators to hold increasingly similar portfolios. Secondly, the paper tests the hypothesis that diversification may result in increasing systematic risk, by analyzing the portfolio dynamics of some of the major world open funds.
Keywords: portfolio diversification; financial stability; systemic risk; CAPM (search for similar items in EconPapers)
JEL-codes: G01 G11 G32 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2012-07-11, Revised 2012-07-11
New Economics Papers: this item is included in nep-eec, nep-fmk and nep-rmg
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Working Paper: Can portfolio diversification increase systemic risk? evidence from the U.S and European mutual funds market (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:rtv:ceisrp:240
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