Jotikasthira, Chotibhak
[VerfasserIn]
;
Lundblad, Christian T.
[Sonstige Person, Familie und Körperschaft];
Ramadorai, Tarun
[Sonstige Person, Familie und Körperschaft]
Asset Fire Sales and Purchases and the International Transmission of Funding Shocks
Anmerkungen:
In: Journal of Finance Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 11, 2012 erstellt
Beschreibung:
We uncover a new channel through which shocks are transmitted across international markets. Investor flows to funds domiciled in developed markets force significant changes in their portfolio allocations to emerging markets. These forced trades affect equity prices, correlations between emerging markets, and the developed-market betas of emerging markets. These funding-driven fire sale effects are related to, but distinct from those arising purely from high fund holdings or high overlapping ownership of emerging markets in fund portfolios. A simple model and calibration exercise highlight the importance to these findings of 'push' effects from funds' domicile countries, and 'co-ownership spillover' between markets with overlapping fund ownership