Contagious Capital: A Network Analysis of Interconnected Intermediaries Public Deposited
Downloadable ContentDownload PDF
- Last Modified
- March 20, 2019
- Affiliation: Kenan-Flagler Business School
- I measure the effects of capital flow contagion in financial markets by analyzing portfolio managers linked through interconnected asset holdings. My novel, network-based specification provides estimates of shocks to common predictor variables 50-75% higher than existing estimates of manager's capital flows which ignore network relationships. This additional impact arises because my network specification includes the effect of spillover onto immediate neighbors and beyond, leading to feedback loops. My findings seem to result from crowded trades (popular, short-term investment strategies) since network connections do not show strong persistence and relatively small changes in asset allocation toward more concentrated positions may increase interconnection considerably.
- Date of publication
- May 2012
- Resource type
- Rights statement
- In Copyright
- ... in partial fulfillment of the requirements for the degree of Doctor of Philosophy in Business Administration (Finance) in the Department of Finance of the Kenan-Flagler Business School.
- Reed, Adam
This work has no parents.
|Contagious capital : a network analysis of interconnected intermediaries||2019-04-09||Public||