Are hedge funds uncorrelated with financial markets? An empirical assessment
AbstractIn this paper, we examine the correlations between hedge fund strategy indices and asset classes. Based on the Dynamic Conditional Correlation (DCC) GARCH Model, we estimate the correlations between hedge fund, stock, and bond indices during bull and bear markets. The results reveal that there are significant correlations between hedge funds and the stock market, especially during the recent financial crisis that took place from 2007 to 2009.
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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-103.
Length: 7 pages
Date of creation: 25 Feb 2014
Date of revision:
Hedge funds; Stock market.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-08 (All new papers)
- NEP-FMK-2014-03-08 (Financial Markets)
- NEP-RMG-2014-03-08 (Risk Management)
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