The contagion versus interdependence controversy between hedge funds and equity markets
研究对冲基金与股票市场之间的传染与相互依赖关系，发现传染效应会打破两者原有的相互依赖，且条件性收益平滑在危机和繁荣期通过改变传染可能性起关键作用。
Abstract This study considers the ‘contagion versus interdependence’ controversy between hedge funds and equity markets. We find that contagion effects break down the established interdependence between hedge funds and equity markets and conditional return smoothing could play a key role in the contagion process by increasing or decreasing the contagion likelihood during crisis and prosperity. It is noted that the return smoothing tends to produce a biased pattern of returns during crisis and a decreased amount of return during prosperity. These findings are obtained by linking a single equation error correction model to a factor model and carrying out quantile regression, Z‐test and Wald–Wolfowitz runs tests.