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Non-alternative collective investment schemes, connectedness and systemic risk

Author

Listed:
  • Ramiro Losada
  • Ricardo Laborda

Abstract

This paper analyses the connectedness among non-alternative collective investment schemes and with their underlying securities markets. The results show that non-alternative collective investment schemes should not be taken as important in terms of propa-gation of shocks and they may play a limited role from a systemic point view, an outcome that may be confirmed by the second main result of the paper. There is not a long run relationship (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, the way that a negative shock in the financial systemic risk causes an increase in the level of connectedness is shown although the opposite cannot be said; a negative shock in the level of connectedness does not cause a rise in the measure of the financial systemic risk.

Suggested Citation

  • Ramiro Losada & Ricardo Laborda, 2020. "Non-alternative collective investment schemes, connectedness and systemic risk," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    • Handle: RePEc:cnv:wpaper:dt_71en
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    References listed on IDEAS

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    More about this item

    Keywords

    Connectedness; investment schemes; UCITS; securities markets; systemic risk;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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