Managers, investors, and crises : mutual fund strategies in emerging markets

About

Countries

Data & Research

Learning

News

Projects & Operations

Publications

Topics

Home > Data & Research > Research > Author Profile > Report Details

Managers, investors, and crises : mutual fund strategies in emerging markets, Volume 1

Author:	Kaminsky, Graciela; Lyons, Richard; Schmukler, Sergio;	Collection Title:	Policy, Research working paper ; no. WPS 2399
Date Stored:	2000/08/26	Document Date:	2000/07/31
Document Type:	Policy Research Working Paper	Language:	English
Major Sector:	Finance	Report Number:	WPS2399
Sub Sectors:	Capital Markets Development	SubTopics:	International Terrorism & Counterterrorism; Markets and Market Access; Payment Systems & Infrastructure; Financial Crisis Management & Restructuring; Economic Theory & Research; Infrastructure Finance; Financial Intermediation
Volume No:	1

Summary: The authors address the trading strategies of mutual funds in emerging markets. The data set they develop permits analyses of these strategies at the level of individual portfolios. A methodologically novel feature of their analysis: they disentangle the behavior of fund managers from that of investors. For both managers and investors, they strongly reject the null hypothesis of no momentum trading. Funds' momentum trading is positive: they systematically buy winners and sell losers. Contemporaneous momentum trading (buying current winners and selling current losers) is stronger during crises, and stronger for fund investors than for fund managers. Lagged momentum trading (buying past winners and selling past losers) is stronger during noncrises, and stronger for fund managers. Investors also engage in contagion trading-selling assets from one country when asset prices fall in another. These findings are based on data about mutual funds that represent only 10 percent of the market capitalization in the countries considered. Were it a larger share of the market, finding counterparties for their trades (the investors who buy when they sell and sell when they buy) would be difficult-and the premise that funds respond to contemporaneous returns rather than causing them would become tenuous.


Official Documents Official, scanned versions of documents (may include signatures, etc.)
File Type		Description	File Size (mb)

	PDF 42 pages	Official version*	2.94 (approx.)
	Text	Text version**


Light-Weight Documents Lighter (less MB) documents which may or may not be the final, official version
File Type		Description	File Size (mb)

	PDF 37 pages	WPS2399	0.10

* The official version is derived from scanning the final, paper copy of the document and is the official,
archived version including all signatures, charts, etc.

** The text version is the OCR text of the final scanned version and is not an accurate representation of the final text.
It is provided solely to benefit users with slow connectivity.

Permanent URL for this page: http://go.worldbank.org/E7QRUPJXJ0