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U.S. Mutual Fund Retail Investors in International Equity Markets: Is the Tail Wagging the Dog?

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Author Info
Li L. Ong
Jorge A. Chan-Lau

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Abstract

Do the dynamics of net flows to U.S. retail mutual funds affect equity returns in emerging markets? The question merits further examination since retail investors in mutual funds can exert a much greater degree of "control" over these funds via cash injections or redemptions at any time. A VAR analysis shows increased discrimination across emerging market regions after the Asian crisis as investors focused on individual regions rather than on emerging markets as a generic asset class. Crossover funds allocations also appear to affect emerging market returns. Furthermore, investment decisions by fund managers seem to be largely driven by retail investor allocations.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 05/162.

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Length: 22 pages
Date of creation: 19 Aug 2005
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Handle: RePEc:imf:imfwpa:05/162

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  4. Kaminsky, Graciela & Lyons, Richard & Schmukler, Sergio, 2001. "Mutual fund investment in emerging markets - an overview," Policy Research Working Paper Series 2529, The World Bank. [Downloadable!]
  5. Kaminsky, Graciela & Lyons, Richard & Schmukler, Sergio, 2000. "Managers, investors, and crises : mutual fund strategies in emerging markets," Policy Research Working Paper Series 2399, The World Bank. [Downloadable!]
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  6. Hali J. Edison & Francis E. Warnock, 2003. "U.S. investors' emerging market equity portfolios: a security-level analysis," International Finance Discussion Papers 771, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  7. Kim, Woochan & Wei, Shang-Jin, 2002. "Foreign portfolio investors before and during a crisis," Journal of International Economics, Elsevier, vol. 56(1), pages 77-96, January. [Downloadable!] (restricted)
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  8. Li L. Ong & Amadou N. R. Sy, 2004. "The Role of Mature Market Mutual Funds in Emerging Markets: Myth or Mayhem?," IMF Working Papers 04/133, International Monetary Fund. [Downloadable!]
  9. G. Andrew Karolyi & Rene M. Stulz, 2002. "Are Financial Assets Priced Locally or Globally?," NBER Working Papers 8994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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