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Leaders and followers in mutual funds: A dynamic Bayesian approach
Author(s) -
Andreu Laura,
Sarto José L.,
Gargallo Pilar,
Salvador Manuel
Publication year - 2020
Publication title -
applied stochastic models in business and industry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.413
H-Index - 40
eISSN - 1526-4025
pISSN - 1524-1904
DOI - 10.1002/asmb.2524
Subject(s) - mutual fund , mutual information , bayesian probability , autoregressive model , econometrics , bayesian inference , asset (computer security) , economics , computer science , finance , artificial intelligence , computer security
This article proposes a dynamic Bayesian framework to analyze the leadership relationships between mutual funds. To this end, a two‐step procedure is proposed. First, a Bayesian rolling window based on the Capital Asset Pricing Model is used to estimate the evolution of mutual funds' market exposure over time. Then, a vector autoregressive (VAR) model is used to analyze the leader‐follower relationship between pair of mutual funds. Several leadership measures are studied. An application to Spanish mutual funds is carried out. In addition, the study examines the determining factors of mutual fund leadership.