engleski

Systemic risk of UCITS investment funds and financial market stability tested using MRS model

Systemic risk came into attention in the period of recent financial crisis, in the case of investment funds through investment behaviour, fire sales and net outflows. The article is testing systemic risk of whole range of different UCITS investment funds and influence on financial market stability. Methodology is based on Markov regime switching model. A conclusion in this article proves existence of systemic risk in returns of analysed UCITS investment funds and their strong systemic interconnections with a financial market. Different investment strategy and type of UCITS investment fund shows no resistance to systemic risk according to this research.

systemic risk; UCITS investment funds; financial stability; interconnectedness; Markov regime switching model

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