# kaal:claim:2748096-032

**Claim.** 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.

**Type.** empirical  **Support.** evidenced

**Holds when.**

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

**Source quote.**

> 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, page 14

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

**Verify.** sha256 of source PDF `8f30260f2c1db728b45c4f3b9b7c64358cf9d3217277bc3c63a910c32f87b508` at https://raw.githubusercontent.com/wulfkaal/Academic-Papers/main/papers/pdf/Kaal%20and%20Krause%20-%202016%20-%20Hedge%20Funds%20and%20Systemic%20Risk.pdf

**Topics.** private-funds

**Keywords.** volatility-transmission, granger-causality, interconnectedness, hedge-funds

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