Table 4 OLS regression: Log (assets) and...

Table 4

OLS regression: Log (assets) and CoVaR/ΔCoVaR by shadow baking class, sponsor and investor

Variable		N	COVAR	ΔCOVAR
Full Sample		432	0.039 (0.001)*	−0.133 (0.022)*
Fund size	Small	112	0.030 (0.146)	−0.207 (0.061)
	Medium	111	0.061 (0.004)*	−0.281 (0.012)*
	Large	132	0.083 (p < 0.001)*	−0.156 (0.167)
Shadow banking class	Fixed-income funds	42	0.036 (0.012)*	−0.362 (0.003)*
	Funds-of-funds	151	0.027 (0.141)	−0.109 (0.269)
	Money market funds	23	0.007 (0.148)	0.004 (0.897)
	Multi-asset funds	216	0.054 (0.003)*	−0.030 (0.737)
Sponsor	Banks	41	0.032 (0.298)	−0.239 (0.258)
	Insurer	65	0.025 (0.157)	−0.102 (0.540)
	Asset manager	326	0.152 (0.272)	−0.111 (0.086)
Investor	Institutional	410	0.041 (<0.001)*	−0.142 (0.017)*
Investor	Retail	32	0.005 (0.956)	0.389 (0.190)

Variable		N	COVAR	ΔCOVAR
Full Sample		432	0.039 (0.001)*	−0.133 (0.022)*
Fund size	Small	112	0.030 (0.146)	−0.207 (0.061)
	Medium	111	0.061 (0.004)*	−0.281 (0.012)*
	Large	132	0.083 (p < 0.001)*	−0.156 (0.167)
Shadow banking class	Fixed-income funds	42	0.036 (0.012)*	−0.362 (0.003)*
	Funds-of-funds	151	0.027 (0.141)	−0.109 (0.269)
	Money market funds	23	0.007 (0.148)	0.004 (0.897)
	Multi-asset funds	216	0.054 (0.003)*	−0.030 (0.737)
Sponsor	Banks	41	0.032 (0.298)	−0.239 (0.258)
	Insurer	65	0.025 (0.157)	−0.102 (0.540)
	Asset manager	326	0.152 (0.272)	−0.111 (0.086)
Investor	Institutional	410	0.041 (<0.001)*	−0.142 (0.017)*
Investor	Retail	32	0.005 (0.956)	0.389 (0.190)

Note(s): This table reports the OLS results. (*) indicates that the relationship between size and systemic risk is statistically significant at 5% significance level. The full sample model is statistically significant with both CoVaR and ΔCOVAR, but the model with ΔCOVAR violates the linearity assumption. Multi-asset funds and retail funds results are statistically significant and satisfy all OLS assumptions

Source(s): Authors’ own work

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