IMF Working Papers

A Panic-Prone Pack? the Behavior of Emerging Market Mutual Funds

By Gaston Gelos, Eduardo Borensztein

December 1, 2000

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Gaston Gelos, and Eduardo Borensztein. A Panic-Prone Pack? the Behavior of Emerging Market Mutual Funds, (USA: International Monetary Fund, 2000) accessed September 20, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper explores the behavior of emerging market mutual funds using a novel database covering the holdings of individual funds over the period January 1996 to March 1999. An examination of individual crises shows that, on average, funds withdrew money one month prior to the events. The degree of herding among funds is statistically significant, but moderate. Herding is more widespread among open-ended funds than among closed-end funds, but not more prevalent during crises than during tranquil times. Funds tend to follow momentum strategies, selling past losers and buying past winners, but their overall behavior is more complex than often suggested.

Subject: Balance of payments, Capital flows, Emerging and frontier financial markets, Financial institutions, Financial markets, Mutual funds, Stock markets, Stocks

Keywords: Asia and Pacific, Capital flows, Contagion, Country funds, Emerging and frontier financial markets, Emerging market, Emerging market funds, Emerging markets, Europe, Financial crises, Foreign portfolio investment, Fund, Fund manager, Funds overtime, Global, Herding, Investment strategies, Investor, Investor behavior, Middle East, Mutual funds, Nonresident investor, Offshore fund, Open-ended fund, Stock markets, Stocks, WP

Publication Details

  • Pages:

    36

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2000/198

  • Stock No:

    WPIEA1982000

  • ISBN:

    9781451860054

  • ISSN:

    1018-5941

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