International Mutual Fund Flows

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International Mutual Fund Flows

Author : Dilip K. Patro
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis International Mutual Fund Flows by : Dilip K. Patro

Download or read book International Mutual Fund Flows written by Dilip K. Patro and published by . This book was released on 2006 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last few decades has witnessed a dramatic growth of U.S. based mutual funds that invest in non-U.S. stock markets. This paper provides a comprehensive analysis of flows into these international mutual funds for 1970-2003. Our analysis uncovers several new facts about mutual fund flows. First, the empirical findings show a strong relationship between flows into U.S. based international mutual funds and the correlation between the returns of the fund's assets and the returns of the U.S. market, consistent with investors' desire for international diversification. Furthermore, a stronger flow-performance relationship is observed when these correlations are low. As expected, the flows are lower when the volatility of the fund is higher. Second, the flows are related to contemporaneous and past fund returns supporting an 'information asymmetry' as well as 'return chasing' hypothesis for international capital flows. Finally, there is some evidence of fund outflows prior to or during the currency crises in emerging markets.

International Mutual Funds, Capital Flow Volatility, and Contagion – A Survey

Author : Mr.R. Gelos
Publisher : International Monetary Fund
ISBN 13 : 1455253316
Total Pages : 29 pages
Book Rating : 4.4/5 (552 download)

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Book Synopsis International Mutual Funds, Capital Flow Volatility, and Contagion – A Survey by : Mr.R. Gelos

Download or read book International Mutual Funds, Capital Flow Volatility, and Contagion – A Survey written by Mr.R. Gelos and published by International Monetary Fund. This book was released on 2011-04-01 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gaining a better understanding of the behavior of international investors is key for informing the debate about the optimal response to capital flows and about reforms to the international financial architecture. In this context, recent research on the behavior of international mutual funds at the micro level has expanded our knowledge about the drivers of portfolio flows and the mechanisms behind the transmission of financial shocks across countries. This paper provides a brief survey of this literature, with a focus on the empirical evidence for emerging markets. Overall, the behavior of international mutual funds is complex and overly simplistic characterizations are misleading. However, there is broad-based evidence for momentum trading among funds. Moreover, funds tend to avoid opaque markets and assets, and this behavior becomes more pronounced during volatile times. Portfolio rebalancing mechanisms are clearly important in explaining contagion patterns, even in the absence of common macroeconomic fundamentals. From a surveillance point of view, this implies that monitoring the exposures of large investors at a micro level is crucial to assess vulnerabilities.

Performance of Mutual Funds

Author : G. Gregoriou
Publisher : Springer
ISBN 13 : 0230626491
Total Pages : 279 pages
Book Rating : 4.2/5 (36 download)

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Book Synopsis Performance of Mutual Funds by : G. Gregoriou

Download or read book Performance of Mutual Funds written by G. Gregoriou and published by Springer. This book was released on 2015-12-04 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book responds to a growing demand for mutual funds. This timely collection of original papers focuses on changes of international investment in Europe, the US and New Zealand. Using a fresh approach, innovative techniques and various models this book assesses performance and provides an understanding of mutual funds on an international level.

Mutual Fund Investment in Emerging Markets

Author : Graciela Laura Kaminsky
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4./5 ( download)

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Book Synopsis Mutual Fund Investment in Emerging Markets by : Graciela Laura Kaminsky

Download or read book Mutual Fund Investment in Emerging Markets written by Graciela Laura Kaminsky and published by World Bank Publications. This book was released on 1999 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: January 2001 How do mutual funds behave when they invest in emerging economies? For one thing, mutual funds' flows are not stable. Withdrawals from emerging markets during recent crises were large, which squares with existing evidence of financial contagion. International mutual funds are one of the main channels for capital flows to emerging economies. Although mutual funds have become important contributors to financial market integration, little is known about their investment allocation and strategies. Kaminsky, Lyons, and Schmukler provide an overview of mutual fund activity in emerging markets. First, they describe international mutual funds' relative size, asset allocation, and country allocation. Second, they focus on fund behavior during crises, by analyzing data at the level of both investors and fund managers. Among their findings: Equity investment in emerging markets has grown rapidly in the 1990s, much of it flowing through mutual funds. Collectively, these funds hold a sizable share of market capitalization in emerging economies. Asian and Latin American funds achieved the fastest growth, but are smaller than domestic U.S. funds and world funds. When investing abroad, U.S. mutual funds invest more in equity than in bonds. World funds invest mainly in developed nations (Canada, Europe, Japan, and the United States). Ten percent of their investment is in Asia and Latin America. Mutual funds usually invest in a few countries within each region. Mutual fund investment was very responsive to the crises of the 1990s. Withdrawals from emerging markets during recent crises were large, which squares with existing evidence of financial contagion. Investments in Asian and Latin American mutual funds are volatile. Because redemptions and injections are large relative to total funds under management, funds' flows are not stable. The cash held by managers during injections and redemptions does not fluctuate significantly, so investors' actions are typically reflected in emerging market inflows and outflows. This paper--a product of Macroeconomics and Growth, Development Research Group--is part of a larger effort in the group to understand the operation of financial markets and the effects of financial globalization. The study was funded by the Bank's Research Support Budget under the research project "Mutual Funds in Emerging Markets." The authors may be contacted at [email protected], lyons@haas. berkeley.edu, or [email protected].

Domestic and Foreign Mutual Funds in Mexico

Author : Jasmine Xiao
Publisher : International Monetary Fund
ISBN 13 : 1484388895
Total Pages : 33 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Domestic and Foreign Mutual Funds in Mexico by : Jasmine Xiao

Download or read book Domestic and Foreign Mutual Funds in Mexico written by Jasmine Xiao and published by International Monetary Fund. This book was released on 2015-05-13 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper utilizes a new dataset of foreign and domestic mutual funds in Mexico to assess their behavior and obtains three new findings. First, foreign mutual funds are more sensitive to global financial conditions and engage more in herding and positive feedback trading than domestic mutual funds, notably during episodes of market stress. Second, the behavior of foreign funds differs substantially across types of funds: bond funds are more sensitive to global factors and engage more in positive feedback trading than equity funds; funds sold to retail investors, open-end funds, small funds, and regional funds also appear to be less stable sources of capital flows. Third, there is indicative evidence that foreign funds’ trading behavior is associated with higher local market volatilities, notably in periods of market stress; however, domestic mutual fund investors played some mitigating role.

Changes in the Global Investor Base and the Stability of Portfolio Flows to Emerging Markets

Author : Mr.Luis Brandao-Marques
Publisher : International Monetary Fund
ISBN 13 : 1513555561
Total Pages : 36 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Changes in the Global Investor Base and the Stability of Portfolio Flows to Emerging Markets by : Mr.Luis Brandao-Marques

Download or read book Changes in the Global Investor Base and the Stability of Portfolio Flows to Emerging Markets written by Mr.Luis Brandao-Marques and published by International Monetary Fund. This book was released on 2015-12-28 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: An analysis of mutual-fund-level flow data into EM bond and equity markets confirms that different types of funds behave differently. Bond funds are more sensitive to global factors and engage more in return chasing than equity funds. Flows from retail, open-end, and offshore funds are more volatile. Global funds are more stable in their EM investments than “dedicated” EM funds. Differences in the stability of flows from ultimate investors play a key role in explaining these patterns. The changing mix of global investors over the past 15 year has probably made portfolio flows to EMs more sensitive to global financial conditions.

International Mutual Fund Flow and Local Markets

Author : Kwangsoo Ko
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis International Mutual Fund Flow and Local Markets by : Kwangsoo Ko

Download or read book International Mutual Fund Flow and Local Markets written by Kwangsoo Ko and published by . This book was released on 2003 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relation between international mutual fund flow and local/home market returns following Warther (1995) and Froot, O'Connell and Seasholes (2001). Like the U.S. domestic results, the concurrent local market return is found to be very important to explain the international mutual fund flow rather than the home market return. The concurrent relation between the local return and the international mutual fund flow could be explained by information hypothesis rather than price pressure effect in the context of international mutual funds. Furthermore, the lagged local market returns do not have any significant effect on the flow, implying that no positive-feedback trading exists. Interestingly, the coefficients of lagged exchange rates for Japan-related funds are negative and statistically significant. That could be called positive-feedback trading from the viewpoint of exchange rate. Last, the U.S. market factor is not statistically significant for explaining the international mutual fund flow, but for the local return after controlling for the effects of expected and unexpected fund flows.

Performance, Perfomance Persistence and Fund Flows

Author : Yuansu Ge
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (12 download)

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Book Synopsis Performance, Perfomance Persistence and Fund Flows by : Yuansu Ge

Download or read book Performance, Perfomance Persistence and Fund Flows written by Yuansu Ge and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Behavior of Fixed-income Funds during COVID-19 Market Turmoil

Author : Mr.Frank Hespeler
Publisher : International Monetary Fund
ISBN 13 : 1513563696
Total Pages : 12 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis The Behavior of Fixed-income Funds during COVID-19 Market Turmoil by : Mr.Frank Hespeler

Download or read book The Behavior of Fixed-income Funds during COVID-19 Market Turmoil written by Mr.Frank Hespeler and published by International Monetary Fund. This book was released on 2020-12-14 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note analyzes the stress experienced (and caused) by open-end mutual funds during the March COVID-19 stress episode, with a focus on global fixed-income funds. In light of increased valuation uncertainty, funds experienced a short period of intense withdrawals while the market liquidity of their holdings deteriorated substantially. To cover redemptions, afflicted funds predominantly shed liquid assets first—for example, cash, cash equivalents, and US Treasury securities. But forced asset sales amplified price pressures in markets and contributed to liquidity falling across fixed-income markets. This drop in market liquidity, as well as the general stress in financial markets, may have led to fund investors becoming even more sensitive to challenging portfolio performance and encouraged further withdrawals. Only after central banks intervened, directly and indirectly supporting asset managers, did liquidity and redemption stress subside. Overall, the March episode validated the financial-stability concerns about liquidity vulnerabilities in the fund industry and calls for further action to address them.

Dynamics of Cross-Border Flow-Performance Relationships

Author : Simon Weiler
Publisher : Springer
ISBN 13 : 3658081546
Total Pages : 107 pages
Book Rating : 4.6/5 (58 download)

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Book Synopsis Dynamics of Cross-Border Flow-Performance Relationships by : Simon Weiler

Download or read book Dynamics of Cross-Border Flow-Performance Relationships written by Simon Weiler and published by Springer. This book was released on 2014-11-19 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt: In order to measure the dynamics of flow-performance relationships for a multi-domicile sample, Simon Weiler applies existing flow-performance research methods to a broad set of European equity (UCITS) funds and proves that major findings (performance-chasing behaviour and a convex flow-performance relationship) also hold true in a cross-border market environment.

Mutual Fund Investment in Emerging Markets - an Overview

Author : Graciela Kaminsky
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Mutual Fund Investment in Emerging Markets - an Overview by : Graciela Kaminsky

Download or read book Mutual Fund Investment in Emerging Markets - an Overview written by Graciela Kaminsky and published by . This book was released on 2017 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: International mutual funds are one of the main channels for capital flows to emerging economies. Although mutual funds have become important contributors to financial market integration, little is known about their investment allocation, and strategies. The authors provide an overview of mutual fund activity in emerging markets. First, they describe international mutual funds' relative size, asset allocation, and country allocation. Second, they focus on fund behavior during crises, by analyzing data at the level of both investors, and fund managers. Among their findings: Equity investment in emerging markets has grown rapidly in the 1990s, much of it flowing through mutual funds. Collectively, these funds hold a sizable share of market capitalization in emerging economies. Asian, and Latin American funds achieved the fastest growth, but are smaller than domestic U.S. funds and world funds. When investigating abroad, U.S. mutual funds invest more in equity than in bonds. World funds invest mainly in developed nations (Canada, Europe, Japan, and the United States). Ten percent of their investment is in Asia, and Latin America. Mutual funds usually invest in a few countries within each region. Mutual fund investment was very responsive to the crises of the 1990s. Withdrawals from emerging markets during recent crises were large, which squares with existing evidence of financial contagion. Investments in Asian, and Latin American mutual funds are volatile. Because redemptions, and injections are large, relative to total funds under management, fund's flows are not stable. The cash held by managers during injections, and redemptions does not fluctuate significantly, so investors' actions are typically reflected in emerging market inflows, and outflows.

Performance, Performance Persistence and Fund Flows

Author : Yuansu Ge
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)

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Book Synopsis Performance, Performance Persistence and Fund Flows by : Yuansu Ge

Download or read book Performance, Performance Persistence and Fund Flows written by Yuansu Ge and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Emerging Market Portfolio Flows

Author : Mr.Serkan Arslanalp
Publisher : International Monetary Fund
ISBN 13 : 1513559222
Total Pages : 25 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Emerging Market Portfolio Flows by : Mr.Serkan Arslanalp

Download or read book Emerging Market Portfolio Flows written by Mr.Serkan Arslanalp and published by International Monetary Fund. This book was released on 2015-12-17 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio flows to emerging markets (EMs) tend to be correlated. A possible explanation is the role global benchmarks play in allocating capital internationally, the so-called “benchmark effect.” This paper finds that benchmark-driven investors indeed play a large role in a key segment of the market—the EM local currency government bond market—, accounting for more than one third of total foreign holdings as of end-2014. We find that the prominence of these investors declined somewhat after the May 2013 taper tantrum, but remain high. This distinction is important in understanding the drivers of EM capital flows and their sensitivity to different types of shocks. In particular, a high share of benchmark-driven investors may result in capital flows that are more sensitive to global shocks and less sensitive to country factors.

International Capital Flows

Author : Punam Chuhan
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4./5 ( download)

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Book Synopsis International Capital Flows by : Punam Chuhan

Download or read book International Capital Flows written by Punam Chuhan and published by World Bank Publications. This book was released on 1996 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Swing Pricing and Fragility in Open-end Mutual Funds

Author : Dunhong Jin
Publisher : International Monetary Fund
ISBN 13 : 151351833X
Total Pages : 46 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Swing Pricing and Fragility in Open-end Mutual Funds by : Dunhong Jin

Download or read book Swing Pricing and Fragility in Open-end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.

Decomposing the Persistence of International Equity Flows

Author : Kenneth Froot
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Decomposing the Persistence of International Equity Flows by : Kenneth Froot

Download or read book Decomposing the Persistence of International Equity Flows written by Kenneth Froot and published by . This book was released on 2002 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: The portfolio flows of institutional investors are widely known to be persistent. What is less well known, is the source of this persistence. One possibility is the 'informed trading hypothesis': that persistence arises from autocorrelated trades of investors who believe they have information about value and who face an imperfectly liquid market. Another possibility is that there are asynchroneities with respect to investment decisions across funds, across investments, or both. These asynchroneities could be due to wealth effects (across investments for a single fund), investor herding (across funds for a single investment), or generalized contagion (across funds and across investments). We use daily data on institutional flows into 21 developed countries by 471 funds to measure and decompose aggregate flow persistence. We find that the informed trading hypothesis explains about 75% of total persistence, and that the remaining amount is attributed entirely to cross-fund own-country persistence. In other words, we find statistically and economically significant flow asynchroneities across funds investing in the same country. There are no meaningful asynchroneities across countries, either within a given fund, or across funds. The cross-fund flow lags we identify might result from different fund investment processes, or from some funds mimicking others' decisions. We reject the hypothesis that wealth effects explain persistence.

Risks and Vulnerabilities in the U.S. Bond Mutual Fund Industry

Author : Antoine Bouveret
Publisher : International Monetary Fund
ISBN 13 : 1513582321
Total Pages : 48 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Risks and Vulnerabilities in the U.S. Bond Mutual Fund Industry by : Antoine Bouveret

Download or read book Risks and Vulnerabilities in the U.S. Bond Mutual Fund Industry written by Antoine Bouveret and published by International Monetary Fund. This book was released on 2021-04-29 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify vulnerable categories based on expected outflows labelled ‘Flows in Distress’. Overall, most U.S. mutual funds are resilient yet high yield (HY) and loan funds would face a liquidity shortfall when faced with severe redemption shocks. Combined sales from funds can have a sizeable price impact. Finally, our contagion analysis using data on fund flows and returns shows that Investment Grade (IG) corporate bonds funds, municipal bond funds and government bond funds are more likely to spread distress to other fund categories than HY, EM and loan funds. When the first type of funds experiences stress, other funds categories are likely to experience stress as well.