kaal:claim:2748096-032

Although hedge fund return volatility is less sensitive to financial system risks than that of brokers, banks, and insurance companies, nonlinear Granger causality tests show that between 2001 and 2008 volatility was transmitted across all parts of the system, including from hedge funds to brokers and banks.

Source quote, verbatim

they find that volatility between 2001 and 2008 is transmitted across all parts of the system, including from hedge funds to brokers and banks.

From

Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016), POST-CRISIS EVIDENCE ON THE SYSTEMIC RISK OF HEDGE FUNDS, p. 14
https://ssrn.com/abstract=2748096 · source PDF

Cite as

Wulf A. Kaal, Timothy A. Krause, Hedge Funds and Systemic Risk (2016). SSRN: https://ssrn.com/abstract=2748096

Holds when

2001 to 2008 sample
result depends on nonlinear Granger causality tests rather than principal components analysis

Classification

empiricalsupport: evidencedprivate-funds

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