Cargando…

The contagion effect of heterogeneous investor groups

This paper suggests an alternative approach to measuring systemic risk in financial markets by examining the interconnectedness among heterogeneous investors. Utilizing variance decomposition and a trading database from the Korea Stock Exchange spanning 2002-2018, we find that systemic risk, as quan...

Descripción completa

Detalles Bibliográficos
Autores principales: Park, A-Young, Oh, Gabjin
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10584174/
https://www.ncbi.nlm.nih.gov/pubmed/37851630
http://dx.doi.org/10.1371/journal.pone.0292795
_version_ 1785122697114550272
author Park, A-Young
Oh, Gabjin
author_facet Park, A-Young
Oh, Gabjin
author_sort Park, A-Young
collection PubMed
description This paper suggests an alternative approach to measuring systemic risk in financial markets by examining the interconnectedness among heterogeneous investors. Utilizing variance decomposition and a trading database from the Korea Stock Exchange spanning 2002-2018, we find that systemic risk, as quantified by total connectedness based on microlevel investor activity, intensifies during both domestic and global financial crises. In addition, our analysis indicates that retail investors, often termed noise traders, are pivotal contributors to the propagation of financial shocks. We also find that portfolios constructed by the sensitivity of total connectedness yield additional returns. This study could enhance our understanding of the contagion effect by incorporating the investor perspective, and the findings could offer valuable insights for policy-makers and regulators.
format Online
Article
Text
id pubmed-10584174
institution National Center for Biotechnology Information
language English
publishDate 2023
publisher Public Library of Science
record_format MEDLINE/PubMed
spelling pubmed-105841742023-10-19 The contagion effect of heterogeneous investor groups Park, A-Young Oh, Gabjin PLoS One Research Article This paper suggests an alternative approach to measuring systemic risk in financial markets by examining the interconnectedness among heterogeneous investors. Utilizing variance decomposition and a trading database from the Korea Stock Exchange spanning 2002-2018, we find that systemic risk, as quantified by total connectedness based on microlevel investor activity, intensifies during both domestic and global financial crises. In addition, our analysis indicates that retail investors, often termed noise traders, are pivotal contributors to the propagation of financial shocks. We also find that portfolios constructed by the sensitivity of total connectedness yield additional returns. This study could enhance our understanding of the contagion effect by incorporating the investor perspective, and the findings could offer valuable insights for policy-makers and regulators. Public Library of Science 2023-10-18 /pmc/articles/PMC10584174/ /pubmed/37851630 http://dx.doi.org/10.1371/journal.pone.0292795 Text en © 2023 Park, Oh https://creativecommons.org/licenses/by/4.0/This is an open access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
spellingShingle Research Article
Park, A-Young
Oh, Gabjin
The contagion effect of heterogeneous investor groups
title The contagion effect of heterogeneous investor groups
title_full The contagion effect of heterogeneous investor groups
title_fullStr The contagion effect of heterogeneous investor groups
title_full_unstemmed The contagion effect of heterogeneous investor groups
title_short The contagion effect of heterogeneous investor groups
title_sort contagion effect of heterogeneous investor groups
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10584174/
https://www.ncbi.nlm.nih.gov/pubmed/37851630
http://dx.doi.org/10.1371/journal.pone.0292795
work_keys_str_mv AT parkayoung thecontagioneffectofheterogeneousinvestorgroups
AT ohgabjin thecontagioneffectofheterogeneousinvestorgroups
AT parkayoung contagioneffectofheterogeneousinvestorgroups
AT ohgabjin contagioneffectofheterogeneousinvestorgroups