TY  - JOUR
AU  - Boyson,Nicole M.
AU  - Stahel,Christof W.
AU  - Stulz,Rene M.
TI  - Is There Hedge Fund Contagion?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12090
PY  - 2006
Y2  - March 2006
UR  - http://www.nber.org/papers/w12090
L1  - http://www.nber.org/papers/w12090.pdf
N1  - Author contact info:
Nicole Boyson
Northeastern University
College of Business Administration
413C Hayden Hall
Boston, MA 02115-5000
E-Mail: n.boyson@neu.edu

Christof Stahel
George Mason University
Department of Finance
4400 University Drive, MSN 5F5
Fairfax, VA 22030
E-Mail: cstahel@gmu.edu

Rene M. Stulz
The Ohio State University
Fisher College of Business
806A Fisher Hall
Columbus, OH 43210-1144
Tel: 614/292-1970
Fax: 614/292-2359
E-Mail: stulz_1@cob.osu.edu
AB  - We examine whether hedge funds experience contagion. First, we consider whether extreme movements in equity, fixed income, and currency markets are contagious to hedge funds. Second, we investigate whether extreme adverse returns in one hedge fund style are contagious to other hedge fund styles. To conduct this examination, we estimate binomial and multinomial logit models of contagion using daily returns on hedge fund style indices as well as monthly returns on indices with a longer history. Our main finding is that there is no evidence of contagion from equity, fixed income, and foreign exchange markets to hedge funds, except for weak evidence of contagion for one single daily hedge fund style index. By contrast, we find strong evidence of contagion across hedge fund styles, so that hedge fund styles tend to have poor coincident returns.
ER  -