Non-Alternative Collective Investment Schemes Connectedness and Systemic Risk

62 Pages Posted: 13 Nov 2019

See all articles by Ramiro Losada

Ramiro Losada

Comision Nacional del Mercado de Valores

Ricardo Laborda Herrero

Centro Universitario de la Defensa de Zaragoza

Date Written: October 28, 2019

Abstract

This paper analyses the connectedness among non-alternative collective investment schemes and with their underlying securities markets. The results show that non-alternative investment collective schemes should not be taken as important in terms of propagation of shocks and they may play a limited role from a systemic point view. This result may be confirmed by the second main result of the paper. There does not exist a relationship in the long run (cointegration) between the connectedness from non-alternative collective schemes with their underlying markets and the financial systemic risk. On the other hand, in the short run, it is shown how a negative shock in the financial systemic risk causes an increase in the level of connectedness but it cannot be stated the opposite; a negative shock in the level of connectedness does not cause a rise in the measure of the financial systemic risk.

Keywords: connectedness, investment schemes, UCITS, securities markets, systemic risk

JEL Classification: G23, G18, C53

Suggested Citation

Losada, Ramiro and Laborda Herrero, Ricardo, Non-Alternative Collective Investment Schemes Connectedness and Systemic Risk (October 28, 2019). Available at SSRN: https://ssrn.com/abstract=3476653 or http://dx.doi.org/10.2139/ssrn.3476653

Ramiro Losada (Contact Author)

Comision Nacional del Mercado de Valores ( email )

c/edison 4
Madrid, Madrid 28006
Spain

Ricardo Laborda Herrero

Centro Universitario de la Defensa de Zaragoza ( email )

Academia General Militar, Ctra. de Huesca, s/n
Zaragoza, Zaragoza 50009
Spain

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