Measuring Systemic Risk Contribution of International Mutual Funds

16 Pages Posted: 14 Sep 2016

See all articles by Joshua Aizenman

Joshua Aizenman

University of Southern California - Department of Economics; National Bureau of Economic Research (NBER)

Yothin Jinjarak

Victoria University of Wellington

Huanhuan Zheng

National University of Singapore

Date Written: September 12, 2016

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, 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

Aizenman, Joshua and Jinjarak, Yothin and Zheng, Huanhuan, Measuring Systemic Risk Contribution of International Mutual Funds (September 12, 2016). ADBI Working Paper 594. Available at SSRN: https://ssrn.com/abstract=2838118 or http://dx.doi.org/10.2139/ssrn.2838118

Joshua Aizenman (Contact Author)

University of Southern California - Department of Economics ( email )

3620 South Vermont Ave. Kaprielian (KAP) Hall, 300
Los Angeles, CA 90089
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Yothin Jinjarak

Victoria University of Wellington ( email )

P.O. Box 600
Wellington, 6140
New Zealand

Huanhuan Zheng

National University of Singapore ( email )

Bukit Timah Road 469 G
Singapore, 117591
Singapore

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