Rating changes and portfolio flows to emerging markets: Evidence from active and passive funds

Christina Bannier, Thomas Heyden and Peter Tillmann

Economics Letters, 2019, vol. 178, issue C, 37-45

Abstract: We study the short-term impact of sovereign rating and outlook changes on daily portfolio flows of active and passive mutual funds to emerging market economies. Our results indicate that active bond fund flows react only to negative rating actions, whereas passive bond fund flows are sensitive to both positive and negative rating actions. Active and passive country flows hence do not always follow the same determinants.

Keywords: Emerging markets; Event study; Portfolio flows; Passive funds; Sovereign ratings (search for similar items in EconPapers)
JEL-codes: E44 F32 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:178:y:2019:i:c:p:37-45

DOI: 10.1016/j.econlet.2019.02.009

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