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 investors thro...
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| Format: | Policy Research Working Paper |
| Language: | English |
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World Bank, Washington, DC
2012
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| Online Access: | http://documents.worldbank.org/curated/en/2012/05/16271853/international-transmission-shocks-micro-evidence-mutual-fund-portfolios http://hdl.handle.net/10986/9347 |
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okr-10986-9347 |
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oai_dc |
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Digital Repository |
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Foreign Institution |
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Digital Repositories |
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World Bank Open Knowledge Repository |
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World Bank |
| language |
English |
| topic |
ACTIONS OF INVESTORS AGENCY PROBLEMS ANNUAL FREQUENCIES ARBITRAGE ASSET ALLOCATION ASSET ALLOCATIONS ASSET GROWTH ASSET HOLDINGS ASSET MANAGEMENT ASSET POSITIONS ASSET PRICES ASSETS ASSETS UNDER MANAGEMENT ASYMMETRIC INFORMATION BANK CREDIT BANKING CRISES BEHAVIOR OF INVESTORS BEHAVIOR OF MANAGERS BEHAVIOR OF MUTUAL FUNDS BENCHMARK BENCHMARK INDEXES BENCHMARKS BOND BOND FUND BOND FUNDS BOND INDEX BOND MARKET BOND MARKETS BOND MUTUAL FUNDS BONDS BROAD MARKET INDEX BUSINESS CYCLE CAPITAL FLOW CAPITAL FLOWS CASH HOLDINGS CENTRAL BANK CLOSED-END FUNDS COUNTRY PORTFOLIO COUNTRY PORTFOLIOS CREDIT DEFAULT CREDIT DEFAULT SWAP CURRENCY CURRENCY CRISES CURRENCY CRISIS DEBT DEPOSIT DEPOSIT INSURANCE DEPOSITORS DEVELOPING COUNTRIES DIVERSIFICATION DIVIDEND DIVIDEND PAYMENTS DOMESTIC FUNDS DOMESTIC MARKETS DUMMY VARIABLE DYNAMIC PANEL EMERGING ECONOMIES EMERGING MARKET EMERGING MARKETS EQUITY FUND EQUITY FUND ASSETS EQUITY FUND FLOWS EQUITY FUND MANAGERS EQUITY FUNDS EQUITY MARKETS EQUITY MUTUAL FUNDS EQUITY PRICE EQUITY PRICES EQUITY RETURN EQUITY RETURNS EXCHANGE RATES FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL DISTRESS FINANCIAL INSTITUTIONS FINANCIAL SYSTEM FIXED INCOME FIXED INCOME SECURITIES FOREIGN ASSET FOREIGN EXCHANGE FOREIGN EXCHANGE MARKETS FOREIGN INVESTORS FOREIGN PORTFOLIO INVESTORS FUND ASSET FUND CAPITAL FUND CHARACTERISTICS FUND MANAGER FUND NET FUND PERFORMANCE FUND PORTFOLIO FUND PRICE FUND PRICES FUND RETURN FUND RETURNS FUND TYPE FUND TYPES GLOBAL BOND GLOBAL EQUITY FUNDS GLOBAL FUNDS GLOBAL MARKETS GLOBAL MUTUAL FUNDS GROWTH OF ASSET GROWTH OF ASSETS GROWTH RATE GROWTH RATES HEDGE FUNDS IDIOSYNCRATIC RISK INDIVIDUAL FUND INDIVIDUAL FUND RETURNS INSTITUTIONAL INVESTORS INTEREST RATES INTERNATIONAL BANK INTERNATIONAL BOND INTERNATIONAL CAPITAL INTERNATIONAL DIVERSIFICATION INTERNATIONAL ECONOMICS INTERNATIONAL EQUITY INTERNATIONAL FINANCE INTERNATIONAL FINANCIAL CONTAGION INTERNATIONAL FUNDS INTERNATIONAL INVESTMENTS INTERNATIONAL INVESTORS INTERNATIONAL MARKETS INTERNATIONAL MUTUAL FUNDS INTERNATIONAL PORTFOLIO INVESTING INVESTMENT FUNDS INVESTMENT OPPORTUNITIES INVESTOR BEHAVIOR LIQUIDATIONS LIQUIDITY LIQUIDITY RISK LONG-TERM INVESTMENTS MANAGEMENT COMPANY MARKET DISCIPLINE MARKET EFFICIENCY MARKET PARTICIPANTS MARKET VOLATILITY MATURITY MATURITY MISMATCH MATURITY TRANSFORMATION MOMENTUM INVESTMENT STRATEGIES MOMENTUM TRADING MORAL HAZARD MUTUAL FUND MUTUAL FUND ASSETS MUTUAL FUND BEHAVIOR MUTUAL FUND DATA MUTUAL FUND FAMILY MUTUAL FUND FLOWS MUTUAL FUND HERDING MUTUAL FUND HOLDINGS MUTUAL FUND INVESTMENT MUTUAL FUND INVESTMENTS MUTUAL FUND INVESTORS MUTUAL FUND MANAGERS MUTUAL FUND NAME MUTUAL FUND PORTFOLIOS MUTUAL FUND STRATEGIES MUTUAL FUNDS NAV NEGATIVE SHOCKS NET ASSET NET ASSET VALUE NET ASSET VALUES NET ASSETS NET RETURNS NUMBER OF SHARES OLIGOPOLY OPEN-END FUNDS OPEN-END MUTUAL FUNDS OPTIMAL PORTFOLIOS PASSIVE FUNDS POLITICAL ECONOMY PORTFOLIO PORTFOLIO ALLOCATIONS PORTFOLIO COMPOSITION PORTFOLIO COMPOSITIONS PORTFOLIO HOLDINGS PORTFOLIO PERFORMANCE PORTFOLIO WEIGHT PORTFOLIO WEIGHTS POSITIVE FEEDBACK PRICE CHANGES PRICE DISCOVERY PRINCIPAL-AGENT PROBLEMS PROSPECTUS RATE OF RETURNS RATES OF RETURNS REDEMPTION REDEMPTIONS REGIONAL FUNDS REPO RESERVE BANK RETURN RETURN DATA RETURN DIFFERENTIALS RETURN VARIABILITY RETURNS RISK MEASURES RISK TAKING ROBUSTNESS CHECKS S&P SOPHISTICATED INVESTORS SOVEREIGN BOND STOCK INDICES STOCK MARKET STOCK MARKET INDEXES STOCK MARKETS STOCK PRICE STOCK PRICES SYSTEMIC RISK TRANSPARENCY TYPES OF FUNDS VALUATION VALUATION CHANGES VOLATILITY WEALTH EFFECTS |
| spellingShingle |
ACTIONS OF INVESTORS AGENCY PROBLEMS ANNUAL FREQUENCIES ARBITRAGE ASSET ALLOCATION ASSET ALLOCATIONS ASSET GROWTH ASSET HOLDINGS ASSET MANAGEMENT ASSET POSITIONS ASSET PRICES ASSETS ASSETS UNDER MANAGEMENT ASYMMETRIC INFORMATION BANK CREDIT BANKING CRISES BEHAVIOR OF INVESTORS BEHAVIOR OF MANAGERS BEHAVIOR OF MUTUAL FUNDS BENCHMARK BENCHMARK INDEXES BENCHMARKS BOND BOND FUND BOND FUNDS BOND INDEX BOND MARKET BOND MARKETS BOND MUTUAL FUNDS BONDS BROAD MARKET INDEX BUSINESS CYCLE CAPITAL FLOW CAPITAL FLOWS CASH HOLDINGS CENTRAL BANK CLOSED-END FUNDS COUNTRY PORTFOLIO COUNTRY PORTFOLIOS CREDIT DEFAULT CREDIT DEFAULT SWAP CURRENCY CURRENCY CRISES CURRENCY CRISIS DEBT DEPOSIT DEPOSIT INSURANCE DEPOSITORS DEVELOPING COUNTRIES DIVERSIFICATION DIVIDEND DIVIDEND PAYMENTS DOMESTIC FUNDS DOMESTIC MARKETS DUMMY VARIABLE DYNAMIC PANEL EMERGING ECONOMIES EMERGING MARKET EMERGING MARKETS EQUITY FUND EQUITY FUND ASSETS EQUITY FUND FLOWS EQUITY FUND MANAGERS EQUITY FUNDS EQUITY MARKETS EQUITY MUTUAL FUNDS EQUITY PRICE EQUITY PRICES EQUITY RETURN EQUITY RETURNS EXCHANGE RATES FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL DISTRESS FINANCIAL INSTITUTIONS FINANCIAL SYSTEM FIXED INCOME FIXED INCOME SECURITIES FOREIGN ASSET FOREIGN EXCHANGE FOREIGN EXCHANGE MARKETS FOREIGN INVESTORS FOREIGN PORTFOLIO INVESTORS FUND ASSET FUND CAPITAL FUND CHARACTERISTICS FUND MANAGER FUND NET FUND PERFORMANCE FUND PORTFOLIO FUND PRICE FUND PRICES FUND RETURN FUND RETURNS FUND TYPE FUND TYPES GLOBAL BOND GLOBAL EQUITY FUNDS GLOBAL FUNDS GLOBAL MARKETS GLOBAL MUTUAL FUNDS GROWTH OF ASSET GROWTH OF ASSETS GROWTH RATE GROWTH RATES HEDGE FUNDS IDIOSYNCRATIC RISK INDIVIDUAL FUND INDIVIDUAL FUND RETURNS INSTITUTIONAL INVESTORS INTEREST RATES INTERNATIONAL BANK INTERNATIONAL BOND INTERNATIONAL CAPITAL INTERNATIONAL DIVERSIFICATION INTERNATIONAL ECONOMICS INTERNATIONAL EQUITY INTERNATIONAL FINANCE INTERNATIONAL FINANCIAL CONTAGION INTERNATIONAL FUNDS INTERNATIONAL INVESTMENTS INTERNATIONAL INVESTORS INTERNATIONAL MARKETS INTERNATIONAL MUTUAL FUNDS INTERNATIONAL PORTFOLIO INVESTING INVESTMENT FUNDS INVESTMENT OPPORTUNITIES INVESTOR BEHAVIOR LIQUIDATIONS LIQUIDITY LIQUIDITY RISK LONG-TERM INVESTMENTS MANAGEMENT COMPANY MARKET DISCIPLINE MARKET EFFICIENCY MARKET PARTICIPANTS MARKET VOLATILITY MATURITY MATURITY MISMATCH MATURITY TRANSFORMATION MOMENTUM INVESTMENT STRATEGIES MOMENTUM TRADING MORAL HAZARD MUTUAL FUND MUTUAL FUND ASSETS MUTUAL FUND BEHAVIOR MUTUAL FUND DATA MUTUAL FUND FAMILY MUTUAL FUND FLOWS MUTUAL FUND HERDING MUTUAL FUND HOLDINGS MUTUAL FUND INVESTMENT MUTUAL FUND INVESTMENTS MUTUAL FUND INVESTORS MUTUAL FUND MANAGERS MUTUAL FUND NAME MUTUAL FUND PORTFOLIOS MUTUAL FUND STRATEGIES MUTUAL FUNDS NAV NEGATIVE SHOCKS NET ASSET NET ASSET VALUE NET ASSET VALUES NET ASSETS NET RETURNS NUMBER OF SHARES OLIGOPOLY OPEN-END FUNDS OPEN-END MUTUAL FUNDS OPTIMAL PORTFOLIOS PASSIVE FUNDS POLITICAL ECONOMY PORTFOLIO PORTFOLIO ALLOCATIONS PORTFOLIO COMPOSITION PORTFOLIO COMPOSITIONS PORTFOLIO HOLDINGS PORTFOLIO PERFORMANCE PORTFOLIO WEIGHT PORTFOLIO WEIGHTS POSITIVE FEEDBACK PRICE CHANGES PRICE DISCOVERY PRINCIPAL-AGENT PROBLEMS PROSPECTUS RATE OF RETURNS RATES OF RETURNS REDEMPTION REDEMPTIONS REGIONAL FUNDS REPO RESERVE BANK RETURN RETURN DATA RETURN DIFFERENTIALS RETURN VARIABILITY RETURNS RISK MEASURES RISK TAKING ROBUSTNESS CHECKS S&P SOPHISTICATED INVESTORS SOVEREIGN BOND STOCK INDICES STOCK MARKET STOCK MARKET INDEXES STOCK MARKETS STOCK PRICE STOCK PRICES SYSTEMIC RISK TRANSPARENCY TYPES OF FUNDS VALUATION VALUATION CHANGES VOLATILITY WEALTH EFFECTS Raddatz, Claudio Schmukler, Sergio L. On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios |
| relation |
Policy Research Working Paper; No. 6072 |
| 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 investors through injections of capital into, or redemptions out of, each fund, and by managers changing the country weights and cash in their portfolios. Both investors and managers respond to returns and crises, and substantially adjust their investments accordingly. These mechanisms generated large capital reallocations during the global financial crisis. Their behavior tends to be pro-cyclical, reducing their exposure to countries experiencing crises and increasing it when conditions improve. Managers actively change country weights over time, although there is significant short-run "pass-through," meaning that price changes affect country weights. Consequently, capital flows from mutual funds do not seem to stabilize markets and instead expose countries to foreign shocks. |
| format |
Publications & Research :: Policy Research Working Paper |
| 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 |
World Bank, Washington, DC |
| publishDate |
2012 |
| url |
http://documents.worldbank.org/curated/en/2012/05/16271853/international-transmission-shocks-micro-evidence-mutual-fund-portfolios http://hdl.handle.net/10986/9347 |
| _version_ |
1764409220362403840 |
| spelling |
okr-10986-93472021-04-23T14:02:45Z On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios Raddatz, Claudio Schmukler, Sergio L. ACTIONS OF INVESTORS AGENCY PROBLEMS ANNUAL FREQUENCIES ARBITRAGE ASSET ALLOCATION ASSET ALLOCATIONS ASSET GROWTH ASSET HOLDINGS ASSET MANAGEMENT ASSET POSITIONS ASSET PRICES ASSETS ASSETS UNDER MANAGEMENT ASYMMETRIC INFORMATION BANK CREDIT BANKING CRISES BEHAVIOR OF INVESTORS BEHAVIOR OF MANAGERS BEHAVIOR OF MUTUAL FUNDS BENCHMARK BENCHMARK INDEXES BENCHMARKS BOND BOND FUND BOND FUNDS BOND INDEX BOND MARKET BOND MARKETS BOND MUTUAL FUNDS BONDS BROAD MARKET INDEX BUSINESS CYCLE CAPITAL FLOW CAPITAL FLOWS CASH HOLDINGS CENTRAL BANK CLOSED-END FUNDS COUNTRY PORTFOLIO COUNTRY PORTFOLIOS CREDIT DEFAULT CREDIT DEFAULT SWAP CURRENCY CURRENCY CRISES CURRENCY CRISIS DEBT DEPOSIT DEPOSIT INSURANCE DEPOSITORS DEVELOPING COUNTRIES DIVERSIFICATION DIVIDEND DIVIDEND PAYMENTS DOMESTIC FUNDS DOMESTIC MARKETS DUMMY VARIABLE DYNAMIC PANEL EMERGING ECONOMIES EMERGING MARKET EMERGING MARKETS EQUITY FUND EQUITY FUND ASSETS EQUITY FUND FLOWS EQUITY FUND MANAGERS EQUITY FUNDS EQUITY MARKETS EQUITY MUTUAL FUNDS EQUITY PRICE EQUITY PRICES EQUITY RETURN EQUITY RETURNS EXCHANGE RATES FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL DISTRESS FINANCIAL INSTITUTIONS FINANCIAL SYSTEM FIXED INCOME FIXED INCOME SECURITIES FOREIGN ASSET FOREIGN EXCHANGE FOREIGN EXCHANGE MARKETS FOREIGN INVESTORS FOREIGN PORTFOLIO INVESTORS FUND ASSET FUND CAPITAL FUND CHARACTERISTICS FUND MANAGER FUND NET FUND PERFORMANCE FUND PORTFOLIO FUND PRICE FUND PRICES FUND RETURN FUND RETURNS FUND TYPE FUND TYPES GLOBAL BOND GLOBAL EQUITY FUNDS GLOBAL FUNDS GLOBAL MARKETS GLOBAL MUTUAL FUNDS GROWTH OF ASSET GROWTH OF ASSETS GROWTH RATE GROWTH RATES HEDGE FUNDS IDIOSYNCRATIC RISK INDIVIDUAL FUND INDIVIDUAL FUND RETURNS INSTITUTIONAL INVESTORS INTEREST RATES INTERNATIONAL BANK INTERNATIONAL BOND INTERNATIONAL CAPITAL INTERNATIONAL DIVERSIFICATION INTERNATIONAL ECONOMICS INTERNATIONAL EQUITY INTERNATIONAL FINANCE INTERNATIONAL FINANCIAL CONTAGION INTERNATIONAL FUNDS INTERNATIONAL INVESTMENTS INTERNATIONAL INVESTORS INTERNATIONAL MARKETS INTERNATIONAL MUTUAL FUNDS INTERNATIONAL PORTFOLIO INVESTING INVESTMENT FUNDS INVESTMENT OPPORTUNITIES INVESTOR BEHAVIOR LIQUIDATIONS LIQUIDITY LIQUIDITY RISK LONG-TERM INVESTMENTS MANAGEMENT COMPANY MARKET DISCIPLINE MARKET EFFICIENCY MARKET PARTICIPANTS MARKET VOLATILITY MATURITY MATURITY MISMATCH MATURITY TRANSFORMATION MOMENTUM INVESTMENT STRATEGIES MOMENTUM TRADING MORAL HAZARD MUTUAL FUND MUTUAL FUND ASSETS MUTUAL FUND BEHAVIOR MUTUAL FUND DATA MUTUAL FUND FAMILY MUTUAL FUND FLOWS MUTUAL FUND HERDING MUTUAL FUND HOLDINGS MUTUAL FUND INVESTMENT MUTUAL FUND INVESTMENTS MUTUAL FUND INVESTORS MUTUAL FUND MANAGERS MUTUAL FUND NAME MUTUAL FUND PORTFOLIOS MUTUAL FUND STRATEGIES MUTUAL FUNDS NAV NEGATIVE SHOCKS NET ASSET NET ASSET VALUE NET ASSET VALUES NET ASSETS NET RETURNS NUMBER OF SHARES OLIGOPOLY OPEN-END FUNDS OPEN-END MUTUAL FUNDS OPTIMAL PORTFOLIOS PASSIVE FUNDS POLITICAL ECONOMY PORTFOLIO PORTFOLIO ALLOCATIONS PORTFOLIO COMPOSITION PORTFOLIO COMPOSITIONS PORTFOLIO HOLDINGS PORTFOLIO PERFORMANCE PORTFOLIO WEIGHT PORTFOLIO WEIGHTS POSITIVE FEEDBACK PRICE CHANGES PRICE DISCOVERY PRINCIPAL-AGENT PROBLEMS PROSPECTUS RATE OF RETURNS RATES OF RETURNS REDEMPTION REDEMPTIONS REGIONAL FUNDS REPO RESERVE BANK RETURN RETURN DATA RETURN DIFFERENTIALS RETURN VARIABILITY RETURNS RISK MEASURES RISK TAKING ROBUSTNESS CHECKS S&P SOPHISTICATED INVESTORS SOVEREIGN BOND STOCK INDICES STOCK MARKET STOCK MARKET INDEXES STOCK MARKETS STOCK PRICE STOCK PRICES SYSTEMIC RISK TRANSPARENCY TYPES OF FUNDS VALUATION VALUATION CHANGES VOLATILITY WEALTH EFFECTS 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 investors through injections of capital into, or redemptions out of, each fund, and by managers changing the country weights and cash in their portfolios. Both investors and managers respond to returns and crises, and substantially adjust their investments accordingly. These mechanisms generated large capital reallocations during the global financial crisis. Their behavior tends to be pro-cyclical, reducing their exposure to countries experiencing crises and increasing it when conditions improve. Managers actively change country weights over time, although there is significant short-run "pass-through," meaning that price changes affect country weights. Consequently, capital flows from mutual funds do not seem to stabilize markets and instead expose countries to foreign shocks. 2012-06-29T21:48:27Z 2012-06-29T21:48:27Z 2012-05 http://documents.worldbank.org/curated/en/2012/05/16271853/international-transmission-shocks-micro-evidence-mutual-fund-portfolios http://hdl.handle.net/10986/9347 English Policy Research Working Paper; No. 6072 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research |