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The Journal of Alternative Investments

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Sovereign and Hedge Fund Systemic Risks

Roberto Savona and Enrico Ciavolino
The Journal of Alternative Investments Spring 2016, 18 (4) 98-108; DOI: https://doi.org/10.3905/jai.2016.18.4.098
Roberto Savona
is an associate professor of financial markets and institutions in the Department of Economics and Management at the University of Brescia in Brescia, Italy.
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  • For correspondence: roberto.savona@unibs.it
Enrico Ciavolino
is an assistant professor of statistics in the Department of History, Society, and Human Studies at the University of Salento in Lecce, Italy.
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  • For correspondence: enrico.ciavolino@unisalento.it
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Abstract

To better explain the connection between hedge funds and sovereign risk in the Eurozone and to shed light on hedge fund dynamics relative to the surge in sovereign spreads, the authors introduce novel systemic risk measures for (1) Eurozone Core countries (France and Germany), (2) GIIPS (Greece, Ireland, Italy, Portugal, and Spain), and (3) the hedge fund industry. Using data on sovereign credit default swaps for France, Germany, Greece, Ireland, Italy, Portugal, Spain, and hedge fund indexes over the period from January 2008 to August 2013, the authors’ results provide new evidence about the connection between hedge funds and sovereign risk in the Eurozone. They find that the hedge fund sector contributed significantly to the rise of systemic risk for GIIPS and Core countries during the Greek crisis of 2010 and the Eurozone crisis of 2011.

TOPICS: Real assets/alternative investments/private equity, developed, risk management, financial crises and financial market history

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The Journal of Alternative Investments: 18 (4)
The Journal of Alternative Investments
Vol. 18, Issue 4
Spring 2016
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Sovereign and Hedge Fund Systemic Risks
Roberto Savona, Enrico Ciavolino
The Journal of Alternative Investments Mar 2016, 18 (4) 98-108; DOI: 10.3905/jai.2016.18.4.098

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Sovereign and Hedge Fund Systemic Risks
Roberto Savona, Enrico Ciavolino
The Journal of Alternative Investments Mar 2016, 18 (4) 98-108; DOI: 10.3905/jai.2016.18.4.098
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  • Article
    • Abstract
    • SOVEREIGN RISK
    • HEDGE FUND RISK
    • SYSTEMIC RISKS
    • RESULTS
    • CONCLUSIONS
    • APPENDIX
    • ENDNOTES
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