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Manuel Salvador, Universidad de Zaragoza 18-01-2021

Measuring the dynamic leadership relationships between Spanish mutual funds: a combination of Bayesian and graphs tools

This paper proposes a dynamic Bayesian framework to analyze the
evolution of leadership relationships between mutual funds. To this end, a two-step procedure is proposed. First, a Bayesian rolling window based on the Capital Asset Pricing Model (CAPM) is used to estimate the evolution of mutual funds’ market exposure over time. Then, a rolling VAR model is used to dynamically estimate evolution of leader-follower relationship between pair of mutual funds. Besides, some graph tools are used to analyze the evolution of these relation-ships and, in addition, the determining factors of mutual fund leadership are also studied. An application to Spanish mutual funds is carried out.

Keywords: Bayesian Inference, CAPM, Rolling window, Mutual funds,
Leaders and followers.