Asset fire sales and purchases and the international transmission of financial shocks

Christian Lundblad and Chotibhak Jotikasthira
Authors registered in the RePEc Author Service: Tarun Ramadorai

No 7595, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We provide new evidence on the channels through which financial shocks are transmitted across international borders. Employing monthly data from 1996 to 2008 on over 1,000 developed country-domiciled mutual and hedge funds, we show that inflows and outflows experienced by these funds translate into significant changes in their portfolio allocations in 25 emerging markets. Despite funds' efforts to ameliorate the price impact of these portfolio allocation shifts, they substantially impact emerging market equity returns, and are associated with increases in co-movement between emerging and developed markets.

Keywords: Co-movement; Contagion; Hedge funds; International finance; Mutual funds (search for similar items in EconPapers)
JEL-codes: F32 G12 G15 (search for similar items in EconPapers)
Date: 2009-12
New Economics Papers: this item is included in nep-cba and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
https://cepr.org/publications/DP7595 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:7595

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP7595

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().