全球智库信息集成服务系统(G2TT): The Persistence of Emerging Market Equity Flows

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w9241
来源ID	Working Paper 9241
	The Persistence of Emerging Market Equity Flows
	Jessica Tjornhom Donohue; Kenneth A. Froot
发表日期	2002-09-25
出版年	2002
语种	英语
摘要	The portfolio flows of institutional investors have been found to be highly persistent across countries and individual investment funds. This paper investigates the source of this persistence in emerging market equities. We employ the decomposition methodology of Froot and Tjornhom (2002), which decomposes the persistence of flows into four components: (i) own-country, own-fund persistence (which might arise from informed trading within each country by individual funds); (ii) own-country, cross-fund persistence (which might arise from asynchronicities across funds); (iii) cross-country, own-fund persistence (which might arise from asynchonicities within a fund) and (iv) cross-country, cross-fund persistence (which might arise from other reaction lags such as contagion across both countries and funds). We find evidence that all four components are positive in emerging markets. Our results differ from those in developed countries, in that we attribute approximately 10%-20% of total persistence to cross-country effects (iii) and (iv). These findings are consistent with stories of contagion, which suggest that demand shifts move predictably from one country to another. They cannot easily be explained by informed trading alone or by wealth effects.
主题	Financial Economics ; Financial Markets ; International Economics ; International Factor Mobility
URL	https://www.nber.org/papers/w9241
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/566854
推荐引用方式 GB/T 7714	Jessica Tjornhom Donohue,Kenneth A. Froot. The Persistence of Emerging Market Equity Flows. 2002.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w9241.pdf（1010KB）	智库出版物		限制开放	CC BY-NC-SA	浏览