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초록
영어
This study considers the ‘contagion versus interdependence’ controversy between hedge funds and equity markets. We find that contagion effects break down the established interdependence between hedge funds and equity markets and that conditional return smoothing (the tendency of hedge funds to underreport losses than gains) is a driving factor of these contagion effects during crisis. These findings are obtained by linking the single equation error correction model to the factor model and then by carrying out quantile regression and the Wald–Wolfowitz runs test.
목차
Abstract
1. Introduction
2. Methodology
2.1 Contagion Modeling
2.2 Contagion Testing
3. Empirical results
3.1 Data
3.2 Unit root tests
3.3 Contagion versus interdependence
3.4 Conditional return smoothing
4. Concluding remarks
References
Appendix A
1. Introduction
2. Methodology
2.1 Contagion Modeling
2.2 Contagion Testing
3. Empirical results
3.1 Data
3.2 Unit root tests
3.3 Contagion versus interdependence
3.4 Conditional return smoothing
4. Concluding remarks
References
Appendix A
키워드
저자정보
참고문헌
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