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

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  • Eduardo Borensztein

    (International Monetary Fund)

  • R. Gaston Gelos

    (International Monetary Fund)

Abstract

This 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 Info

Article provided by Palgrave Macmillan in its journal IMF Staff Papers.

Volume (Year): 50 (2003)
Issue (Month): 1 ()
Pages: 3

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Handle: RePEc:pal:imfstp:v:50:y:2003:i:1:p:3

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  1. Anne Jansen & Donald J. Mathieson & Barry J. Eichengreen & Laura E. Kodres & Bankim Chadha & Sunil Sharma, 1998. "Hedge Funds and Financial Market Dynamics," IMF Occasional Papers 166, International Monetary Fund.
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