Non-Alternative Collective Investment Schemes Connectedness and Systemic Risk
62 Pages Posted: 13 Nov 2019
Date Written: October 28, 2019
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: Suggested Citation