On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios

Using micro-level data on mutual funds from different financial centers investing in equity and bonds, this paper analyzes how investors and managers behave and transmit shocks across countries. The paper shows that the volatility of mutual fund investments is quantitatively driven by both the under...

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Main Authors:	Raddatz, Claudio, Schmukler, Sergio L.
Format:	Journal Article
Language:	en_US
Published:	Elsevier 2013
Subjects:	contagion crises global financial crisis international capital flows mutual fund investors mutual fund managers
Online Access:	http://hdl.handle.net/10986/16308

id	okr-10986-16308
recordtype	oai_dc
spelling	okr-10986-163082021-04-23T14:03:28Z On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios Raddatz, Claudio Schmukler, Sergio L. contagion crises global financial crisis international capital flows mutual fund investors mutual fund managers Using micro-level data on mutual funds from different financial centers investing in equity and bonds, this paper analyzes how investors and managers behave and transmit shocks across countries. The paper shows that the volatility of mutual fund investments is quantitatively driven by both the underlying investors and fund managers through (i) injections into/redemptions out of each fund and (ii) managerial changes in country weights and cash. Both investors and managers respond to country returns and crises and adjust their investments substantially, e.g., generating large reallocations during the global financial crisis. Their behavior tends to be pro-cyclical, reducing their exposure to countries during bad times and increasing it when conditions improve. Managers actively change country weights over time, although there is significant short-run pass-through from returns to country weights. Capital flows from mutual funds do not seem to have a stabilizing role and expose countries in their portfolios to foreign shocks. 2013-11-22T20:47:00Z 2013-11-22T20:47:00Z 2012-11 Journal Article Journal of International Economics 0022‐1996 http://hdl.handle.net/10986/16308 en_US CC BY-NC-ND 3.0 IGO http://creativecommons.org/licenses/by-nc-nd/3.0/igo/ World Bank Elsevier Publications & Research :: Journal Article Publications & Research
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	en_US
topic	contagion crises global financial crisis international capital flows mutual fund investors mutual fund managers
spellingShingle	contagion crises global financial crisis international capital flows mutual fund investors mutual fund managers Raddatz, Claudio Schmukler, Sergio L. On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios
description	Using micro-level data on mutual funds from different financial centers investing in equity and bonds, this paper analyzes how investors and managers behave and transmit shocks across countries. The paper shows that the volatility of mutual fund investments is quantitatively driven by both the underlying investors and fund managers through (i) injections into/redemptions out of each fund and (ii) managerial changes in country weights and cash. Both investors and managers respond to country returns and crises and adjust their investments substantially, e.g., generating large reallocations during the global financial crisis. Their behavior tends to be pro-cyclical, reducing their exposure to countries during bad times and increasing it when conditions improve. Managers actively change country weights over time, although there is significant short-run pass-through from returns to country weights. Capital flows from mutual funds do not seem to have a stabilizing role and expose countries in their portfolios to foreign shocks.
format	Journal Article
author	Raddatz, Claudio Schmukler, Sergio L.
author_facet	Raddatz, Claudio Schmukler, Sergio L.
author_sort	Raddatz, Claudio
title	On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios
title_short	On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios
title_full	On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios
title_fullStr	On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios
title_full_unstemmed	On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios
title_sort	on the international transmission of shocks : micro-evidence from mutual fund portfolios
publisher	Elsevier
publishDate	2013
url	http://hdl.handle.net/10986/16308
_version_	1764432796028239872

On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios

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