Economics at your fingertips  

A Panic-Prone Pack? the Behavior of Emerging Market Mutual Funds

R. Gaston Gelos and Eduardo Borensztein

No 2000/198, IMF Working Papers from International Monetary Fund

Abstract: This paper explores the behavior of emerging market mutual funds using a novel database covering the holdings of individual funds over the period January 1996 to March 1999. An examination of individual crises shows that, on average, funds withdrew money one month prior to the events. The degree of herding among funds is statistically significant, but moderate. Herding is more widespread among open-ended funds than among closed-end funds, but not more prevalent during crises than during tranquil times. Funds tend to follow momentum strategies, selling past losers and buying past winners, but their overall behavior is more complex than often suggested.

Keywords: WP; fund; emerging market; investor; Mutual funds; contagion; emerging markets; foreign portfolio investment; herding; financial crises; emerging market funds; fund manager; open-ended fund; country funds; nonresident investor; funds overtime; offshore fund; investment strategies; investor behavior; Emerging and frontier financial markets; Stock markets; Stocks; Capital flows; Global; Asia and Pacific; Europe; Middle East (search for similar items in EconPapers)
Pages: 36
Date: 2000-12-01
References: Add references at CitEc
Citations: View citations in EconPapers (32) Track citations by RSS feed

Downloads: (external link) (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
Journal Article: A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds (2003) Downloads
Working Paper: A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds (2001) Downloads
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:

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().

Page updated 2023-06-05
Handle: RePEc:imf:imfwpa:2000/198