Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network Approach
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...
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| Format: | Article |
| Language: | English |
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Wiley
2019-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2019/1565698 |
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| author | Jaime F. Lavin Mauricio A. Valle Nicolás S. Magner |
| author_facet | Jaime F. Lavin Mauricio A. Valle Nicolás S. Magner |
| author_sort | Jaime F. Lavin |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-50c000bd68304486bd8797838d0de6a0 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2019-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-50c000bd68304486bd8797838d0de6a02025-02-03T01:28:40ZengWileyComplexity1076-27871099-05262019-01-01201910.1155/2019/15656981565698Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network ApproachJaime F. Lavin0Mauricio A. Valle1Nicolás S. Magner2Escuela de Negocios, Universidad Adolfo Ibáñez, Diagonal Las Torres 2640, Peñalolén, Santiago, Postal Code 7941169, ChileFacultad de Economia y Negocios, Universidad Finis Terrae, Pedro de Valdivia 1509, Providencia, Santiago, Postal Code 7501015, ChileFacultad de Economia y Negocios, Universidad Finis Terrae, Pedro de Valdivia 1509, Providencia, Santiago, Postal Code 7501015, ChileThis 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.http://dx.doi.org/10.1155/2019/1565698 |
| spellingShingle | Jaime F. Lavin Mauricio A. Valle Nicolás S. Magner Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network Approach Complexity |
| title | Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network Approach |
| title_full | Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network Approach |
| title_fullStr | Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network Approach |
| title_full_unstemmed | Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network Approach |
| title_short | Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network Approach |
| title_sort | modeling overlapped mutual funds portfolios a bipartite network approach |
| url | http://dx.doi.org/10.1155/2019/1565698 |
| work_keys_str_mv | AT jaimeflavin modelingoverlappedmutualfundsportfoliosabipartitenetworkapproach AT mauricioavalle modelingoverlappedmutualfundsportfoliosabipartitenetworkapproach AT nicolassmagner modelingoverlappedmutualfundsportfoliosabipartitenetworkapproach |