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Measuring Systemic Risk Contribution of International Mutual Funds

Author

Listed:
  • Aizenman, Joshua

    (Asian Development Bank Institute)

  • Jinjarak, Yothin

    (Asian Development Bank Institute)

  • Zheng, Huanhuan

    (Asian Development Bank Institute)

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, macroprudential approach, and risk-taking behavior of fund managers.

Suggested Citation

  • Aizenman, Joshua & Jinjarak, Yothin & Zheng, Huanhuan, 2016. "Measuring Systemic Risk Contribution of International Mutual Funds," ADBI Working Papers 594, Asian Development Bank Institute.
    • Handle: RePEc:ris:adbiwp:0594
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    Cited by:

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    2. Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).

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    More about this item

    Keywords

    systemic risk contribution; systemic risk; mutual funds; international mutual funds; global financial system;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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