A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds
AbstractThis article explores the behavior of emerging market mutual funds using a novel database covering the holdings of individual funds over the period January 1996 to December 2000. 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. We find some evidence that funds tend to follow momentum strategies, selling past losers and buying past winners. Copyright 2003, International Monetary Fund
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Bibliographic InfoArticle provided by Palgrave Macmillan in its journal IMF Staff Papers.
Volume (Year): 50 (2003)
Issue (Month): 1 ()
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Other versions of this item:
- Eduardo R. Borensztein & R. Gaston Gelos, 2001. "A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds," CESifo Working Paper Series 564, CESifo Group Munich.
- Gaston Gelos & Eduardo Borensztein, 2000. "A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds," IMF Working Papers 00/198, International Monetary Fund.
- F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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