Asset Fire Sales and Purchases and the International Transmission of Funding Shocks

被引：200

作者：

Jotikasthira, Chotibhak ^{[1
]}

Lundblad, Christian ^{[1
]}

Ramadorai, Tarun ^{[2
]}

机构：

[1] Univ N Carolina, Chapel Hill, NC 27515 USA

[2] Oxford Man Inst Quantitat Finance, Said Business Sch, Oxford, England

来源：

JOURNAL OF FINANCE | 2012年 / 67卷 / 06期

关键词：

BID-ASK SPREAD; DOMESTIC INVESTORS; PORTFOLIO FLOWS; DEMAND CURVES; HOME BIAS; LIQUIDITY; PRICE; CRISES; CONTAGION; MODEL;

D O I：

10.1111/j.1540-6261.2012.01780.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We identify a new channel for the transmission of shocks across international markets. Investor flows to funds domiciled in developed markets force significant changes in these funds emerging market portfolio allocations. These forced trades or fire sales affect emerging market equity prices, correlations, and betas, and are related to but distinct from effects arising purely from fund holdings or from 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.

引用

页码：2015 / 2050

页数：36

共 79 条

[11] Liquidity and expected returns: Lessons from emerging markets [J].