Measuring Systemic Risk Contribution of International Mutual Funds
16 Pages Posted: 14 Sep 2016
Date Written: September 12, 2016
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, macro-prudential approach, and risk-taking behavior of fund managers.
Keywords: systemic risk contribution, systemic risk, mutual funds, international mutual funds, global financial system
JEL Classification: E44, F3, G15
Suggested Citation: Suggested Citation