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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 |