A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds

By E. Borensztein, R. Gaston Gelos, Andrew Berg, Ricardo J. Caballero, A. Ilyina, E. Lundback, Alessandro Rebucci, S. Schmukler, Shang-jin Wei, Ian Wilson and 1 more. Social Science Research Network, 2000

216 citations recorded by the source corpus.

This article explores the behavior of emerging market mutual funds using a novel database covering the holdings of individual funds over the period January 1996 to December 2000. The degree of herding among funds is statistically significant, but moderate. Herding is more widespread among open-ended funds than among closed-end funds, but not more prevalent during crises than during tranquil times. We find some evidence that funds tend to follow momentum strategies, selling past losers and buying past winners.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0a541a1dc256b7ecf330e87e05ab073084e06e14

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Citations in the corpus

Transparency and International Portfolio Holdings (2005, unknown): “See also Borensztein and Gelos (2003).”
Emerging Markets Finance (2003, background): “These include Borensztein and Gelos (2001), Kim and Wei (2002b), and Frankel and Schmukler (2000).”
On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios (2012, unknown): “4 See, for example, Borensztein and Gelos (2003), Martinez Peria et al. (2005), Broner et al. (2006), Hau and Rey (2006), Cetorelli and Goldberg (2011), and”
How Does U.S. Monetary Policy Influence Sovereign Spreads in Emerging Markets? (2001, background): “16See Aitken (1998), and Borensztein and Gelos (2000) for empirical evidence on the role played by shifts in institutional investors ’sentiment in determining asset prices in developing countries.”
How Resilient and Countercyclical Were Emerging Economies to the Global Financial Crisis? (2012, unknown): “See also Kaminsky and Reinhart (2000) and Martinez Peria et al. (2005) on the role of banks; Borensztein and Gelos (2003), Kaminsky et al. (2004b), Broner et al. (2006), and Raddatz and Schmukler (2012) on the role of mutual funds, among many others.”
Herd Behavior in Financial Markets (2000, background): “The study by Borensztein and Gelos (2000) does not focus on a particular country, but instead uses a data set collected by Emerging Markets Funds Research, Inc., on the monthly geographic asset allocations of 467 funds active in developing countries over the period 1996:1–1999:3.”
Analysis of intraday herding behavior among the sector ETFs (2004, unknown): “Borzenstein and Gelos (2000) find results supporting both the mutual fund and emerging market investor herding studies, namely, that emerging market mutual funds tend to herd.”
Emerging Market Mutual Fund Performance: Evidence for Poland (2011, unknown): “For instance, Borensztein and Gelos (2000) have shown that managers of emerging market mutual funds are characterised by better market timing.”
When in Peril, Retrench: Testing the Portfolio Channel of Contagion (2004, unknown): “6 Among others, Borensztein and Gelos (2003a), Kaminsky, Lyons, and Schmukler (2000), and Froot, O’Connell, and Seasholes (2001) present evidence of positive feedback trading in emerging markets. 7 Providing a fully-fledged theoretical analysis is outside the scope of this paper and, as a result, we”
Portfolio preferences of foreign institutional investors (2003, unknown): “6 For example, Gelos and Wei (2002) and Borensztein and Gelos (2001) study the behavior of international portfolio flows over time.”