TY - JOUR ID - 111732 TI - Evaluating and Comparing Systemic Risk and Market Risk of Mutual Funds in Iran Capital Market JO - Iranian Journal of Finance JA - IJF LA - en SN - 2676-6337 AU - Shahbazin, Fereshteh AU - Ghalibaf Asl, Hasan AU - Seighali, Mohen AU - Peymani Foroushani, Moslem AD - Ph.D. Candidate of Department of Financial Management, Qazvin Branch, Islamic Azad University, Qazvin, Iran AD - Prof., Department of Finance and Insurance, Faculty of Management, Alzahra University, Tehran, Iran. AD - Assistant Prof., Faculty of Accounting and Management, Islamic Azad University, Qazvin, Iran. AD - Assistant Prof., Faculty of Finance and Banking, Allameh Tabatabaei University, Tehran, Iran. Y1 - 2019 PY - 2019 VL - 3 IS - 4 SP - 90 EP - 112 KW - Conditional value at risk KW - Mutual Funds KW - quantile regression KW - systemic risk DO - 10.22034/ijf.2020.231342.1127 N2 - Mutual funds are one of the most paramount investment mechanisms in financial markets. By playing a financial intermediary role, they give nonprofessionals access to professionally managed portfolios of securities and provide numerous benefits for both the capital market and investors simultaneously. This study evaluated and investigated the systemic risk of mutual funds in the Iran capital market by adopting a Conditional Value at Risk (CoVaR) approach and employing quantile regression. In the finance literature, systemic risk is the probability of a downfall in the financial system when a segment or an individual component gets in distress. This risk can trigger instability or shock in financial markets and the real part of the economy. The results revealed that stock (equity) mutual funds were systemically more important than other funds, including fixed-income and balanced mutual funds, due to the high volatility in their return, which makes them riskier. To compare systemic risk and market risk among mutual funds, funds classified into five different groups based on their systemic risk. According to this categorization, analysis of variance illuminated that the market risk of mutual funds had a direct relationship with their systemic risk, such that a higher systemic risk of a fund stood for higher market risk. UR - https://www.ijfifsa.ir/article_111732.html L1 - https://www.ijfifsa.ir/article_111732_5f8e19983f7831d351d4c0d8ea391b10.pdf ER -