Next Article in Journal
Critical Issues at the Upstream Level in Sustainable Supply Chain Management of Agri-Food Industries: Evidence from Pakistan’s Citrus Industry
Next Article in Special Issue
Estimating China’s Trade with Its Partner Countries within the Belt and Road Initiative Using Neural Network Analysis
Previous Article in Journal
Control Strategy of a Hybrid Energy Storage System to Smooth Photovoltaic Power Fluctuations Considering Photovoltaic Output Power Curtailment
Previous Article in Special Issue
Transport Infrastructure Development, Public Performance and Long-Run Economic Growth: A Case Study for the Eu-28 Countries
Open AccessArticle

A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings

1
Department of Finances-Accountancy, Valahia University of Târgovişte, 2 Carol I Boulevard, Târgovişte 130024, Romania
2
Department of Finance, The Bucharest University of Economic Studies, 6 Piata Romana, Bucharest 010374, Romania
3
Faculty of Economics, Hyperion University of Bucharest, 169 Calea Călăraşilor, Bucharest 030615, Romania
*
Author to whom correspondence should be addressed.
Sustainability 2019, 11(5), 1325; https://doi.org/10.3390/su11051325
Received: 3 February 2019 / Revised: 13 February 2019 / Accepted: 22 February 2019 / Published: 3 March 2019
(This article belongs to the Special Issue Resilient Infrastructure Systems and Sustainable Economic Growth)
This paper explores the sensitivity of Romanian collective investment undertakings’ returns to changes in equity, fixed income and foreign exchange market returns. We use a sample of 80 open-end investment funds and pension funds with daily returns between 2016 and 2018. Our methodology consists of measuring changes in the daily conditional volatility for the fund returns (EGARCH) and changes in their conditional correlation with selected market risk factors (DCC MV-GARCH) throughout different volatility regimes identified using a Markov Regime Switching model. We argue that, on average, the level of conditional correlations between funds and market risk factors remained stable and unconcerned by the volatility regimes. In addition, for only less than half of the funds in the sample, their volatility regimes were synchronized with those of the selected market risk factors. We found that, on average, fund returns are more correlated with equity returns and less correlated with changes in local bond yields, while not being significantly influenced by changes in foreign bond yields or changes in foreign exchange. During the period investigated equity returns were the most volatile while the funds returns volatility were, on average, much more reduced. Overall, our results show the resilience of the Romanian collective investment sector to the selected market risk factors, during the investigated period. View Full-Text
Keywords: Markov switching; conditional volatility; conditional correlation; market risk; investment and pension funds Markov switching; conditional volatility; conditional correlation; market risk; investment and pension funds
Show Figures

Figure 1

MDPI and ACS Style

Badea, L.; Armeanu, D.Ş.; Panait, I.; Gherghina, Ş.C. A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. Sustainability 2019, 11, 1325. https://doi.org/10.3390/su11051325

AMA Style

Badea L, Armeanu DŞ, Panait I, Gherghina ŞC. A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. Sustainability. 2019; 11(5):1325. https://doi.org/10.3390/su11051325

Chicago/Turabian Style

Badea, Leonardo; Armeanu, Daniel Ş.; Panait, Iulian; Gherghina, Ştefan C. 2019. "A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings" Sustainability 11, no. 5: 1325. https://doi.org/10.3390/su11051325

Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Search more from Scilit
 
Search
Back to TopTop