Private equity market dynamics: beyond the surface
This study examines return and volatility spillovers between different regional private equity markets and investment styles to analyze the dynamics of connectedness. Using the LPX Group’s listed private equity indices from 2004 to 2023, we find significant fluctuations in return and volatility spil...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2025 |
| País: | España |
| Institución: | Fundación Dialnet. Universidad de La Rioja |
| Repositorio: | RUIdeRA. Repositorio Institucional de la UCLM |
| OAI Identifier: | oai:ruidera.uclm.es:10578/45494 |
| Acceso en línea: | https://doi.org/10.1016/j.iref.2025.104087 https://www.sciencedirect.com/science/article/pii/S1059056025002503 https://hdl.handle.net/10578/45494 |
| Access Level: | acceso abierto |
| Palabra clave: | Listed private equity Return and volatility connectedness TVP-VAR |
| Sumario: | This study examines return and volatility spillovers between different regional private equity markets and investment styles to analyze the dynamics of connectedness. Using the LPX Group’s listed private equity indices from 2004 to 2023, we find significant fluctuations in return and volatility spillovers over time, with peaks occurring during major financial events. Notably, the peaks in the volatility spillovers are more abrupt but less persistent than those in the return spillovers. Our analysis reveals no direct correspondence between return and volatility spillovers, suggesting that they measure different aspects that should be considered in active portfolio management. The LPX America index is a net transmitter for the LPX Europe index, except during specific European events. In addition, the LPX Buyout index is identified as a consistent net transmitter of return spillovers, whereas the LPX Mezzanine index shows higher net volatility spillovers. Conversely, the LPX Venture index is consistently a net receiver, highlighting its diversification potential for both private equity and traditional stock market investors. These findings provide essential insights into portfolio allocation, risk management, and strategic planning in private equity investing. |
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