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The Journal of Alternative Investments

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Article

Does a Contagion Effect Exist Between Equity
Markets and Hedge Funds in Periods of Extreme
Stress in Financial Markets?

Jan Viebig and Thorsten Poddig
The Journal of Alternative Investments Fall 2010, 13 (2) 78-103; DOI: https://doi.org/10.3905/jai.2010.13.2.078
Jan Viebig
is head of emerging markets at Credit Suisse in Zurich, Switzerland, and a lecturer at the University of Bremen in Bremen, Germany.
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  • For correspondence: janviebig@global.t-bird.edu
Thorsten Poddig
is professor of finance at the University of Bremen in Bremen, Germany.
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  • For correspondence: poddig@uni-bremen.de
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Abstract

Previous researchers have argued that there is no empirical evidence in support of contagion between equity markets and hedge funds. Unlike previous researchers, the authors of this article assess whether extreme increases in volatility transmit from equities to hedge funds. Using kernel density estimation, they show that the volatility spillover effect between equities and hedge funds is significant at the 99% level of confidence for several hedge-fund strategies. Conducting tests for correlation asymmetry and applying Vector Autoregressive (VAR) models, they find evidence confirming that a contagion effect exists between equity markets and several hedge-fund strategies. The impact of financial crises on hedge funds varies substantially across hedge-fund styles.

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The Journal of Alternative Investments: 13 (2)
The Journal of Alternative Investments
Vol. 13, Issue 2
Fall 2010
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Does a Contagion Effect Exist Between Equity
Markets and Hedge Funds in Periods of Extreme
Stress in Financial Markets?
Jan Viebig, Thorsten Poddig
The Journal of Alternative Investments Sep 2010, 13 (2) 78-103; DOI: 10.3905/jai.2010.13.2.078

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Does a Contagion Effect Exist Between Equity
Markets and Hedge Funds in Periods of Extreme
Stress in Financial Markets?
Jan Viebig, Thorsten Poddig
The Journal of Alternative Investments Sep 2010, 13 (2) 78-103; DOI: 10.3905/jai.2010.13.2.078
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  • Article
    • Abstract
    • DATA AND METHODOLOGY
    • ESTIMATION OF TIME-VARYING VOLATILITIES OF HEDGE FUNDS USING ARCH/GARCH MODELS
    • VOLATILITY SPILLOVER EFFECT AND TESTS FOR SIGNIFICANCE
    • CORRELATION ASYMMETRY AND VECTOR AUTOREGRESSIVE MODELS (VAR)
    • CONCLUSION
    • REFERENCES
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