A Panic-Prone Pack? the Behavior of Emerging Market Mutual Funds
IMF Working Papers, December 1, 2000
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- A Panic-Prone Pack? the Behavior of Emerging Market Mutual Funds
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Bibliographic details
- Authors: Gaston Gelos, Eduardo Borensztein
- Published: December 1, 2000
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451860054.001
Overview and main findings
- Research question: behavior of emerging market mutual funds during January 1996 to March 1999.
- Data: novel database covering the holdings of individual funds over the period January 1996 to March 1999.
- Timing of withdrawals: on average, funds withdrew money one month prior to the events examined.
- Herding:
- The degree of herding among funds is statistically significant, but moderate.
- Herding is more widespread among open-ended funds than among closed-end funds.
- Herding is not more prevalent during crises than during tranquil times.
- Investment strategies:
- Funds tend to follow momentum strategies, selling past losers and buying past winners.
- Overall behavior is more complex than often suggested.
Methodology and scope
- Unit of analysis: individual mutual funds' holdings.
- Sample period: January 1996 to March 1999.
- Cases examined: individual crises within the sample period (timing of fund withdrawals reported relative to those events).
Subjects and keywords
- Subjects: 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
Source: IMF Working Papers — "A Panic-Prone Pack? the Behavior of Emerging Market Mutual Funds" by Gaston Gelos and Eduardo Borensztein, December 1, 2000.
Content in this bundle
- A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds - WP/00/198