EconPapers    
Economics at your fingertips  
 

Managers, investors, and crises: mutual fund strategies in emerging markets

Graciela Kaminsky (), Richard Lyons () and Sergio Schmukler ()

No 2399, Policy Research Working Paper Series from The World Bank

Abstract: The authors address the trading strategies of mutual funds in emerging markets. The data set they develop permits analyses of these strategies at the level of individual portfolios. A methodologically novel feature of their analysis: they disentangle the behavior of fund managers from that of investors. For both managers and investors, they strongly reject the null hypothesis of no momentum trading. Funds'momentum trading is positive: they systematically buy winners and sell losers. Contemporaneous momentum trading (buying current winners and selling current losers) is stronger during crises, and stronger for fund investors than for fund managers. Lagged momentum trading (buying past winners and selling past losers) is stronger during noncrises, and stronger for fund managers. Investors also engage in contagion trading-selling assets from one country when asset prices fall in another. These findings are based on data about mutual funds that represent only 10 percent of the market capitalization in the countries considered. Were it a larger share of the market, finding counterparties for their trades (the investors who buy when they sell and sell when they buy) would be difficult-and the premise that funds respond to contemporaneous returns rather than causing them would become tenuous.

Keywords: Financial Intermediation; International Terrorism&Counterterrorism; Financial Crisis Management&Restructuring; Economic Theory&Research; Infrastructure Finance; Payment Systems&Infrastructure; Markets and Market Access (search for similar items in EconPapers)
Date: 2000-07-31
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32) Track citations by RSS feed

Downloads: (external link)
http://documents.worldbank.org/curated/en/678181468739465948/pdf/multi-page.pdf (application/pdf)

Related works:
Journal Article: Managers, investors, and crises: mutual fund strategies in emerging markets (2004) Downloads
Working Paper: Managers, Investors, and Crises: Mutual Fund Strategies in Emerging Markets (2000) 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: https://EconPapers.repec.org/RePEc:wbk:wbrwps:2399

Access Statistics for this paper

More papers in Policy Research Working Paper Series from The World Bank 1818 H Street, N.W., Washington, DC 20433. Contact information at EDIRC.
Bibliographic data for series maintained by Roula I. Yazigi ().

 
Page updated 2020-07-07
Handle: RePEc:wbk:wbrwps:2399