Earticle

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

키워드

저자

• Hee Soo Lee [ Department of Business Administration, Sejong University ] Corresponding Author
• Tae Yoon Kim [ Department of Statistics, Keimyung University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330