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What influences portfolio contagion among open-end mutual funds?

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  • Liu, Junbin
  • Liu, Xiaoxing
  • Shi, Guangping

Abstract

This paper investigates the time-varying impacts of macroeconomic factors on portfolio contagion. Mining and using overlapping portfolio data covering more than 600 open-end mutual funds and 1900 stocks in China's stock market from 2007 to 2015, we construct a directed weighted network and calculate its degree of portfolio contagion. The time-varying parameter VAR model with stochastic volatility (TVP-VAR-SV model) using the stochastic model specification search (SMSS) method is applied to explore the impacts. We find that the stock market cycle and the investor sentiment show a more significantly positive time-varying impact on portfolio contagion during periods of stability. The volatility of portfolio contagion is greater during financial environment turmoil.

Suggested Citation

  • Liu, Junbin & Liu, Xiaoxing & Shi, Guangping, 2019. "What influences portfolio contagion among open-end mutual funds?," Finance Research Letters, Elsevier, vol. 30(C), pages 145-152.
    • Handle: RePEc:eee:finlet:v:30:y:2019:i:c:p:145-152
    DOI: 10.1016/j.frl.2018.06.011
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    References listed on IDEAS

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    More about this item

    Keywords

    Mutual funds network; Portfolio contagion; SMSS-TVP-VAR-SV model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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