A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds
AbstractThis paper explores the behavior of emerging market mutual funds using anovel database covering the holdings of individual funds over the periodJanuary 1996 to March 1999. An examination of individual crises shows that,on average, funds withdrew money one month prior to the events. Thedegree of herding among funds is statistically significant, but moderate.Herding is more widespread among open-ended funds than among closed-endfunds, but not more prevalent during crises than during tranquil times.Funds tend to follow momentum strategies, selling past losers and buyingpast winners, but their overall behavior is more complex than oftensuggested.
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Bibliographic InfoPaper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 564.
Date of creation: 2001
Date of revision:
mutual funds; contagion; emerging markets; foreign portfolioinvestment; herding; financial crises.;
Other versions of this item:
- Eduardo Borensztein & R. Gaston Gelos, 2003. "A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds," IMF Staff Papers, Palgrave Macmillan, vol. 50(1), pages 3.
- 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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