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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...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2023
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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 |
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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 |
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