Racing to the exits: International transmissions of funding shocks during the Federal Reserve's taper experiment

G. Andrew Karolyi and Kirsty J. McLaren

Emerging Markets Review, 2017, vol. 32, issue C, 96-115

Abstract: In May 2013, the U.S. Federal Reserve announced the beginning of the end of the program of monthly security purchases, the so-called “tapering.” The announcement was associated with large investor outflows from EM funds and large fund re-allocations across countries and stocks. Unexpected flow-implied fund upward (downward) allocations are associated with positive (negative) individual security returns following the announcement. The effect is pronounced in EM stocks that had positive cumulative abnormal returns around earlier Federal Reserve asset-purchase announcements leading up to the taper. It is concentrated in more liquid, smaller capitalization stocks and is stronger for forced trades among funds with more active country bets.

Keywords: Mutual funds; International capital flows; Emerging markets; Monetary policy (search for similar items in EconPapers)
JEL-codes: F32 F36 G11 G15 G23 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566014117302042
Full text for ScienceDirect subscribers only

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:eee:ememar:v:32:y:2017:i:c:p:96-115

DOI: 10.1016/j.ememar.2017.05.009

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().