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3561. Return and volatility spillover among the global private equity markets
Contributed abstract in session MA-51: Risk management in finance, stream Risk management in finance.
Monday, 8:30-10:00Room: M5 (building: 101)
Authors (first author is the speaker)
| 1. | Antonio Díaz
|
| Universidad de Castilla-La Mancha | |
| 2. | Carlos Esparcia Sanchís
|
| Department of Economic Analysis and Finance, Universidad de Castilla-La Mancha | |
| 3. | Lars Tegtmeier
|
| University of Applied Sciences Merseburg |
Abstract
This study investigates return and volatility spillovers between different regional private equity markets and investment styles to analyze the dynamics of interconnectedness. This is done using the LPX Group’s listed private equity indices for the period January 2004 to September 2023. The results show that the LPX America index is a net transmitter for the LPX Europe index. The transmission of volatility spillovers from the US to Europe precedes the impact of return spillovers by several months. Furthermore, Europe only becomes a transmitter for the US in a few specific European events. For the investment style indices, the LPX Buyout index consistently acts as a net return spillover transmitter throughout the sample period, while the LPX Mezzanine index consistently exhibits higher net volatility spillovers. The LPX Venture index consistently acts as a net receiver. The catalysts for risk contagion within the LPX indices are explicitly stated to be the differential impact of major economic and financial events. Another reason for the observed spillover effects could be herd behavior as a transmission channel.
Keywords
- Finance and Banking
- Financial Modelling
- Risk Analysis and Management
Status: accepted
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