Publication:
On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios

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dc.contributor.authorRaddatz, Claudio
dc.contributor.authorSchmukler, Sergio L.
dc.date.accessioned2012-06-29T21:48:27Z
dc.date.available2012-06-29T21:48:27Z
dc.date.issued2012-05
dc.description.abstractUsing micro-level data on mutual funds from different financial centers investing in equity and bonds, this paper analyzes how investors and managers behave and transmit shocks across countries. The paper shows that the volatility of mutual fund investments is quantitatively driven by investors through injections of capital into, or redemptions out of, each fund, and by managers changing the country weights and cash in their portfolios. Both investors and managers respond to returns and crises, and substantially adjust their investments accordingly. These mechanisms generated large capital reallocations during the global financial crisis. Their behavior tends to be pro-cyclical, reducing their exposure to countries experiencing crises and increasing it when conditions improve. Managers actively change country weights over time, although there is significant short-run "pass-through," meaning that price changes affect country weights. Consequently, capital flows from mutual funds do not seem to stabilize markets and instead expose countries to foreign shocks.en
dc.identifierhttp://documents.worldbank.org/curated/en/2012/05/16271853/international-transmission-shocks-micro-evidence-mutual-fund-portfolios
dc.identifier.doi10.1596/1813-9450-6072
dc.identifier.urihttps://hdl.handle.net/10986/9347
dc.languageEnglish
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper; No. 6072
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectACTIONS OF INVESTORS
dc.subjectAGENCY PROBLEMS
dc.subjectANNUAL FREQUENCIES
dc.subjectARBITRAGE
dc.subjectASSET ALLOCATION
dc.subjectASSET ALLOCATIONS
dc.subjectASSET GROWTH
dc.subjectASSET HOLDINGS
dc.subjectASSET MANAGEMENT
dc.subjectASSET POSITIONS
dc.subjectASSET PRICES
dc.subjectASSETS
dc.subjectASSETS UNDER MANAGEMENT
dc.subjectASYMMETRIC INFORMATION
dc.subjectBANK CREDIT
dc.subjectBANKING CRISES
dc.subjectBEHAVIOR OF INVESTORS
dc.subjectBEHAVIOR OF MANAGERS
dc.subjectBEHAVIOR OF MUTUAL FUNDS
dc.subjectBENCHMARK
dc.subjectBENCHMARK INDEXES
dc.subjectBENCHMARKS
dc.subjectBOND
dc.subjectBOND FUND
dc.subjectBOND FUNDS
dc.subjectBOND INDEX
dc.subjectBOND MARKET
dc.subjectBOND MARKETS
dc.subjectBOND MUTUAL FUNDS
dc.subjectBONDS
dc.subjectBROAD MARKET INDEX
dc.subjectBUSINESS CYCLE
dc.subjectCAPITAL FLOW
dc.subjectCAPITAL FLOWS
dc.subjectCASH HOLDINGS
dc.subjectCENTRAL BANK
dc.subjectCLOSED-END FUNDS
dc.subjectCOUNTRY PORTFOLIO
dc.subjectCOUNTRY PORTFOLIOS
dc.subjectCREDIT DEFAULT
dc.subjectCREDIT DEFAULT SWAP
dc.subjectCURRENCY
dc.subjectCURRENCY CRISES
dc.subjectCURRENCY CRISIS
dc.subjectDEBT
dc.subjectDEPOSIT
dc.subjectDEPOSIT INSURANCE
dc.subjectDEPOSITORS
dc.subjectDEVELOPING COUNTRIES
dc.subjectDIVERSIFICATION
dc.subjectDIVIDEND
dc.subjectDIVIDEND PAYMENTS
dc.subjectDOMESTIC FUNDS
dc.subjectDOMESTIC MARKETS
dc.subjectDUMMY VARIABLE
dc.subjectDYNAMIC PANEL
dc.subjectEMERGING ECONOMIES
dc.subjectEMERGING MARKET
dc.subjectEMERGING MARKETS
dc.subjectEQUITY FUND
dc.subjectEQUITY FUND ASSETS
dc.subjectEQUITY FUND FLOWS
dc.subjectEQUITY FUND MANAGERS
dc.subjectEQUITY FUNDS
dc.subjectEQUITY MARKETS
dc.subjectEQUITY MUTUAL FUNDS
dc.subjectEQUITY PRICE
dc.subjectEQUITY PRICES
dc.subjectEQUITY RETURN
dc.subjectEQUITY RETURNS
dc.subjectEXCHANGE RATES
dc.subjectFINANCIAL CRISES
dc.subjectFINANCIAL CRISIS
dc.subjectFINANCIAL DISTRESS
dc.subjectFINANCIAL INSTITUTIONS
dc.subjectFINANCIAL SYSTEM
dc.subjectFIXED INCOME
dc.subjectFIXED INCOME SECURITIES
dc.subjectFOREIGN ASSET
dc.subjectFOREIGN EXCHANGE
dc.subjectFOREIGN EXCHANGE MARKETS
dc.subjectFOREIGN INVESTORS
dc.subjectFOREIGN PORTFOLIO INVESTORS
dc.subjectFUND ASSET
dc.subjectFUND CAPITAL
dc.subjectFUND CHARACTERISTICS
dc.subjectFUND MANAGER
dc.subjectFUND NET
dc.subjectFUND PERFORMANCE
dc.subjectFUND PORTFOLIO
dc.subjectFUND PRICE
dc.subjectFUND PRICES
dc.subjectFUND RETURN
dc.subjectFUND RETURNS
dc.subjectFUND TYPE
dc.subjectFUND TYPES
dc.subjectGLOBAL BOND
dc.subjectGLOBAL EQUITY FUNDS
dc.subjectGLOBAL FUNDS
dc.subjectGLOBAL MARKETS
dc.subjectGLOBAL MUTUAL FUNDS
dc.subjectGROWTH OF ASSET
dc.subjectGROWTH OF ASSETS
dc.subjectGROWTH RATE
dc.subjectGROWTH RATES
dc.subjectHEDGE FUNDS
dc.subjectIDIOSYNCRATIC RISK
dc.subjectINDIVIDUAL FUND
dc.subjectINDIVIDUAL FUND RETURNS
dc.subjectINSTITUTIONAL INVESTORS
dc.subjectINTEREST RATES
dc.subjectINTERNATIONAL BANK
dc.subjectINTERNATIONAL BOND
dc.subjectINTERNATIONAL CAPITAL
dc.subjectINTERNATIONAL DIVERSIFICATION
dc.subjectINTERNATIONAL ECONOMICS
dc.subjectINTERNATIONAL EQUITY
dc.subjectINTERNATIONAL FINANCE
dc.subjectINTERNATIONAL FINANCIAL CONTAGION
dc.subjectINTERNATIONAL FUNDS
dc.subjectINTERNATIONAL INVESTMENTS
dc.subjectINTERNATIONAL INVESTORS
dc.subjectINTERNATIONAL MARKETS
dc.subjectINTERNATIONAL MUTUAL FUNDS
dc.subjectINTERNATIONAL PORTFOLIO
dc.subjectINVESTING
dc.subjectINVESTMENT FUNDS
dc.subjectINVESTMENT OPPORTUNITIES
dc.subjectINVESTOR BEHAVIOR
dc.subjectLIQUIDATIONS
dc.subjectLIQUIDITY
dc.subjectLIQUIDITY RISK
dc.subjectLONG-TERM INVESTMENTS
dc.subjectMANAGEMENT COMPANY
dc.subjectMARKET DISCIPLINE
dc.subjectMARKET EFFICIENCY
dc.subjectMARKET PARTICIPANTS
dc.subjectMARKET VOLATILITY
dc.subjectMATURITY
dc.subjectMATURITY MISMATCH
dc.subjectMATURITY TRANSFORMATION
dc.subjectMOMENTUM INVESTMENT STRATEGIES
dc.subjectMOMENTUM TRADING
dc.subjectMORAL HAZARD
dc.subjectMUTUAL FUND
dc.subjectMUTUAL FUND ASSETS
dc.subjectMUTUAL FUND BEHAVIOR
dc.subjectMUTUAL FUND DATA
dc.subjectMUTUAL FUND FAMILY
dc.subjectMUTUAL FUND FLOWS
dc.subjectMUTUAL FUND HERDING
dc.subjectMUTUAL FUND HOLDINGS
dc.subjectMUTUAL FUND INVESTMENT
dc.subjectMUTUAL FUND INVESTMENTS
dc.subjectMUTUAL FUND INVESTORS
dc.subjectMUTUAL FUND MANAGERS
dc.subjectMUTUAL FUND NAME
dc.subjectMUTUAL FUND PORTFOLIOS
dc.subjectMUTUAL FUND STRATEGIES
dc.subjectMUTUAL FUNDS
dc.subjectNAV
dc.subjectNEGATIVE SHOCKS
dc.subjectNET ASSET
dc.subjectNET ASSET VALUE
dc.subjectNET ASSET VALUES
dc.subjectNET ASSETS
dc.subjectNET RETURNS
dc.subjectNUMBER OF SHARES
dc.subjectOLIGOPOLY
dc.subjectOPEN-END FUNDS
dc.subjectOPEN-END MUTUAL FUNDS
dc.subjectOPTIMAL PORTFOLIOS
dc.subjectPASSIVE FUNDS
dc.subjectPOLITICAL ECONOMY
dc.subjectPORTFOLIO
dc.subjectPORTFOLIO ALLOCATIONS
dc.subjectPORTFOLIO COMPOSITION
dc.subjectPORTFOLIO COMPOSITIONS
dc.subjectPORTFOLIO HOLDINGS
dc.subjectPORTFOLIO PERFORMANCE
dc.subjectPORTFOLIO WEIGHT
dc.subjectPORTFOLIO WEIGHTS
dc.subjectPOSITIVE FEEDBACK
dc.subjectPRICE CHANGES
dc.subjectPRICE DISCOVERY
dc.subjectPRINCIPAL-AGENT PROBLEMS
dc.subjectPROSPECTUS
dc.subjectRATE OF RETURNS
dc.subjectRATES OF RETURNS
dc.subjectREDEMPTION
dc.subjectREDEMPTIONS
dc.subjectREGIONAL FUNDS
dc.subjectREPO
dc.subjectRESERVE BANK
dc.subjectRETURN
dc.subjectRETURN DATA
dc.subjectRETURN DIFFERENTIALS
dc.subjectRETURN VARIABILITY
dc.subjectRETURNS
dc.subjectRISK MEASURES
dc.subjectRISK TAKING
dc.subjectROBUSTNESS CHECKS
dc.subjectS&P
dc.subjectSOPHISTICATED INVESTORS
dc.subjectSOVEREIGN BOND
dc.subjectSTOCK INDICES
dc.subjectSTOCK MARKET
dc.subjectSTOCK MARKET INDEXES
dc.subjectSTOCK MARKETS
dc.subjectSTOCK PRICE
dc.subjectSTOCK PRICES
dc.subjectSYSTEMIC RISK
dc.subjectTRANSPARENCY
dc.subjectTYPES OF FUNDS
dc.subjectVALUATION
dc.subjectVALUATION CHANGES
dc.subjectVOLATILITY
dc.subjectWEALTH EFFECTS
dc.titleOn the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfoliosen
dspace.entity.typePublication
okr.crossref.titleOn the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios
okr.date.disclosure2012-05-01
okr.date.doiregistration2025-04-10T10:59:11.851358Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/2012/05/16271853/international-transmission-shocks-micro-evidence-mutual-fund-portfolios
okr.globalpracticeMacroeconomics and Fiscal Management
okr.globalpracticeFinance and Markets
okr.globalpracticeTrade and Competitiveness
okr.guid720321468158065222
okr.identifier.doi10.1596/1813-9450-6072
okr.identifier.externaldocumentum000158349_20120516171524
okr.identifier.internaldocumentum16271853
okr.identifier.reportWPS6072
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2012/05/16/000158349_20120516171524/Rendered/PDF/WPS6072.pdfen
okr.relation.associatedurlhttps://openknowledge.worldbank.org/handle/10986/16308
okr.sectorFinance :: General finance sector
okr.topicFinance and Financial Sector Development::Mutual Funds
okr.topicMacroeconomics and Economic Growth::Investment and Investment Climate
okr.topicFinance and Financial Sector Development::Debt Markets
okr.topicPrivate Sector Development::Emerging Markets
okr.topicFinance and Financial Sector Development::Currencies and Exchange Rates
okr.unitDevelopment Research Group (DECRG)
okr.unitDECRG: Macroeconomics & Growth (DECMG)
okr.volume1 of 1
relation.isAuthorOfPublicationad1ad457-a974-53de-815c-c7010e0fdd74
relation.isAuthorOfPublication.latestForDiscoveryad1ad457-a974-53de-815c-c7010e0fdd74
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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