2019冠状病毒病危机中印度的平衡基金:金融传染病的传播者?

IF 1.8 Q3 MANAGEMENT
P. Malhotra, P. Sinha
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引用次数: 0

摘要

在2021年1月11日发布的最新金融稳定报告中,印度储备银行(RBI)强调了平衡共同基金在风险传导中的重要性。我们使用三个已建立的模型:Diagonal BEKK(1995)、Dynamic Conditional Correlation(DCC GARCH(2002))和网络模型,研究了印度平衡基金向代表性指数——银行、PSU银行、私人银行、金融服务、广义市场、服务业和固定收益——的波动性和传染效应的传递。在对金融时间序列数据的分析中,新冠肺炎大流行被广泛视为结构性突破。我们可以通过将研究分为两个时期来更好地理解危机前和危机期间溢出的动态和规模:新冠肺炎前(2011年1月至2019年12月29日)和新冠肺炎期间(2019年12月份30日至2021年4月20日)。这三个模型的结果都支持我们的假设,即平衡基金对所选指数的溢出具有统计学意义,具有较强的持续性,长期波动溢出显著增加,表明存在传染效应。本文的研究结果可以帮助基金经理实现投资组合的多样化,同时也有利于投资者的教育。JEL分类:C23、G12、G23
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Balanced Funds in India Amid COVID-19 Crisis: Spreader of Financial Contagion?
In its latest financial stability report, dated 11 January 2021, the Reserve Bank of India (RBI) emphasised the significance of balanced mutual funds in risk transmission. We investigate the transmission of volatility and contagion effect from Indian balanced funds to representative indices—Bank, PSU Bank, Private Bank, Financial Services, Broader Market, Services Sector and Fixed Income—using three established models: Diagonal BEKK (1995), Dynamic Conditional Correlation (DCC GARCH (2002)) and network model. In analyses of financial time series data, the COVID-19 pandemic has been widely regarded as a structural break. We may better understand the dynamism and scale of spillover before and during a crisis by dividing the study into two periods: pre-COVID-19 (January 2011–29 December 2019) and during COVID-19 (30 December 2019–20 April 2021). The results of all three models support our hypothesis of statistically significant spillover from balanced funds to chosen indices, with strong persistence and a marked increase in long-term volatility spillover, showing the presence of contagion effects. The findings of this paper can assist fund managers in diversifying their portfolios while also benefiting investors educationally. JEL Classification: C23, G12, G23
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来源期刊
CiteScore
3.90
自引率
31.20%
发文量
25
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