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Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network Approach
Joint Authors
Lavin, Jaime F.
Valle, Mauricio A.
Magner, Nicolás S.
Source
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-20, 20 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-07-01
Country of Publication
Egypt
No. of Pages
20
Main Subjects
Abstract EN
This paper studies the topology of the Chilean mutual fund industry using networks methods.
With the physical positions of the local equity portfolios managed during 2003.01-2017.4, we analyze their connectivity structure in both the mutual funds’ bipartite network and their one-mode projection.
We estimate network measures to examine the potential effects on the topology arising from changes in the industrial environment and changes in the mutual funds’ investment strategies in their overlapped portfolios.
Our main results show that changes in the bipartite network and its one-mode projection are correlated with variables related to funds’ investment strategies and with industry-specific variables.
In consequence, these elements are a new potential of disturbance in the financial network conformed by stocks and mutual funds.
We contribute to the existing literature, improving the understanding of the aggregate behavior of a financial sector which despite its economic importance has attracted little attention from a systemic risk perspective.
American Psychological Association (APA)
Lavin, Jaime F.& Valle, Mauricio A.& Magner, Nicolás S.. 2019. Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network Approach. Complexity،Vol. 2019, no. 2019, pp.1-20.
https://search.emarefa.net/detail/BIM-1131069
Modern Language Association (MLA)
Lavin, Jaime F.…[et al.]. Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network Approach. Complexity No. 2019 (2019), pp.1-20.
https://search.emarefa.net/detail/BIM-1131069
American Medical Association (AMA)
Lavin, Jaime F.& Valle, Mauricio A.& Magner, Nicolás S.. Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network Approach. Complexity. 2019. Vol. 2019, no. 2019, pp.1-20.
https://search.emarefa.net/detail/BIM-1131069
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1131069