| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12090 |
| 来源ID | Working Paper 12090 |
| Is There Hedge Fund Contagion? | |
| Nicole M. Boyson; Christof W. Stahel; Rene M. Stulz | |
| 发表日期 | 2006-03-06 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We examine whether hedge funds experience contagion. First, we consider whether extreme movements in equity, fixed income, and currency markets are contagious to hedge funds. Second, we investigate whether extreme adverse returns in one hedge fund style are contagious to other hedge fund styles. To conduct this examination, we estimate binomial and multinomial logit models of contagion using daily returns on hedge fund style indices as well as monthly returns on indices with a longer history. Our main finding is that there is no evidence of contagion from equity, fixed income, and foreign exchange markets to hedge funds, except for weak evidence of contagion for one single daily hedge fund style index. By contrast, we find strong evidence of contagion across hedge fund styles, so that hedge fund styles tend to have poor coincident returns. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w12090 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569743 |
| 推荐引用方式 GB/T 7714 | Nicole M. Boyson,Christof W. Stahel,Rene M. Stulz. Is There Hedge Fund Contagion?. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12090.pdf（353KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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