RT Journal Article
SR Electronic
T1 Does a Contagion Effect Exist Between Equity<br/>Markets and Hedge Funds in Periods of Extreme<br/>Stress in Financial Markets?
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 78
OP 103
DO 10.3905/jai.2010.13.2.078
VO 13
IS 2
A1 Jan Viebig
A1 Thorsten Poddig
YR 2010
UL https://pm-research.com/content/13/2/78.abstract
AB 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.TOPICS: Real assets/alternative investments/private equity, exchanges/markets/clearinghouses, financial crises and financial market history, statistical methods