This article proposes a dynamic Bayesian framework to analyze the 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 is used to estimate the evolution of mutual funds' market exposure over time. Then, a vector autoregressive (VAR) model is used to analyze the leader‐follower relationship between pair of mutual funds. Several leadership measures are studied. An application to Spanish mutual funds is carried out. In addition, the study examines the determining factors of mutual fund leadership.

中文翻译：

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共同基金的领导者和追随者：动态贝叶斯方法

本文提出了一个动态贝叶斯框架来分析共同基金之间的领导关系。为此，提出了一个两步过程。首先，基于资本资产定价模型的贝叶斯滚动窗口用于估计共同基金的市场敞口随时间的演变。然后，使用向量自回归（VAR）模型来分析共同基金对之间的领导者与跟随者关系。研究了几种领导措施。西班牙共同基金的申请已经完成。此外，该研究还探讨了共同基金领导力的决定因素。