Measuring Systemic Risk Contribution of International Mutual Funds
This paper analyzes over 10,000 mutual funds to provide evidence of systemic risk contribution in the international mutual fund sector from 2000 to 2011.
This study provides new evidence of systemic risk contribution in the international mutual fund sector from 2000–2011. The empirical analysis tracks the systemic risk of 10,570 mutual funds investing internationally. The main findings suggest that the systemic risk contributions of international mutual funds are more than proportional given the fund’s size. Policy implications are discussed in terms of practicality of regulation, macroprudential approach, and risk-taking behavior of fund managers.
WORKING PAPER NO: 594