Table 5 Quantile regression: Log...

Table 5

Quantile regression: Log (assets) and CoVaR by shadow banking class, sponsor, and investor

		N	COVAR
			q25	Q50	Q75
Full Sample		432	0.047 (<0.001)*	0.037 (<0.001)*	0.015 (0.133)
Shadow banking class	Fixed-income funds	42	0.024 (0.520)	0.013 (0.521)	0.013 (0.585)
	Funds-of-funds	151	0.028 (0.210)	0.018 (0.189)	0.012 (0.279)
	Money market funds	23	0.007 (0.137)	0.003 (0.619)	0.005 (0.535)
	Multi-asset funds	216	0.059 (<0.001)*	0.068 (<0.001)*	0.047 (0.025)*
Sponsor	Banks	41	0.017 (0.189)	0.013 (0.529)	0.012 (0.653)
	Insurer	65	0.055 (0.046)*	0.011 (0.338)	0.003 (0.850)
	Asset manager	326	0.047 (p < 0.001)*	0.039 (p < 0.001)*	0.021 (0.097)
Investor	Institutional	32	0.028 (0.905)	0.043 (0.593)	0.057 (0.835)
Investor	Retail	410	0.049 (p < 0.001)*	0.013 (0.269)	0.013 (0.269)
Retail multi-asset funds sponsored by asset managers		161	0.059 (p < 0.001)*	0.073 (p = 0.002)*	0.062 (0.090)
Retail multi-asset funds sponsored by insurers		25	0.064 (0.123)	0.052 (0.078)	0.048 (0.066)

		N	COVAR
			q25	Q50	Q75
Full Sample		432	0.047 (<0.001)*	0.037 (<0.001)*	0.015 (0.133)
Shadow banking class	Fixed-income funds	42	0.024 (0.520)	0.013 (0.521)	0.013 (0.585)
	Funds-of-funds	151	0.028 (0.210)	0.018 (0.189)	0.012 (0.279)
	Money market funds	23	0.007 (0.137)	0.003 (0.619)	0.005 (0.535)
	Multi-asset funds	216	0.059 (<0.001)*	0.068 (<0.001)*	0.047 (0.025)*
Sponsor	Banks	41	0.017 (0.189)	0.013 (0.529)	0.012 (0.653)
	Insurer	65	0.055 (0.046)*	0.011 (0.338)	0.003 (0.850)
	Asset manager	326	0.047 (p < 0.001)*	0.039 (p < 0.001)*	0.021 (0.097)
Investor	Institutional	32	0.028 (0.905)	0.043 (0.593)	0.057 (0.835)
Investor	Retail	410	0.049 (p < 0.001)*	0.013 (0.269)	0.013 (0.269)
Retail multi-asset funds sponsored by asset managers		161	0.059 (p < 0.001)*	0.073 (p = 0.002)*	0.062 (0.090)
Retail multi-asset funds sponsored by insurers		25	0.064 (0.123)	0.052 (0.078)	0.048 (0.066)

Note(s): This table reports the quantile regression results. (*) indicates that the relationship between size and systemic risk is statistically significant at 5% significance level. The full sample size model is statistically significant at 25th and 50th percentiles, lower and median levels of systemic risk, respectively. The multi-asset funds model is significant at lower, median and higher systemic risk levels. Other significant results are those of insurers, asset managers, and retail funds at 25th percentile. The asset manager model is also significant at 50th percentile

Source(s): Authors’ own work * denotes a statistically significant relationship

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