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

Autori
Krišto, Jakša ; Stojanović, Alen ; Filipović, Hrvoje

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of 8th International Conference “An Enterprise Odyssey: Saving the Sinking Ship Through Human Capital” / Galetić, Lovorka ; Načinović Braje, Ivana ; Jaković, Božidar - Zagreb : Ekonomski fakultet Sveučilišta u Zagrebu, 2016, 595-603

ISBN
978-953-346-027-7

Skup
8th International Conference “An Enterprise Odyssey: Saving the Sinking Ship Through Human Capital”

Mjesto i datum
Zagreb, Hrvatska, 08.06.2016. - 11.06.2016

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

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

Sažetak
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.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA