The Persistence of Emerging Market Equity Flows

Topics:
Investment and Capital Markets
Tags:
Emerging Market,
Financial Services,
Marketing,
Marketing Research,
National Bureau Of Economic Research
Source:
National Bureau of Economic Research

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Overview: The portfolio flows of institutional investors have been found to be highly persistent across countries and individual investment funds. This paper investigates the source of this persistence in emerging market equities. It employs the decomposition methodology of Froot and Tjornhom(2002), which decomposes the persistence of flows into four components: own-country, own-fund persistence (which might arise from informed trading within each country by individual funds); own-country, cross-fund persistence (which might arise from asynchronicities across funds); cross-country, own-fund persistence (which might arise from asynchonicities within a fund) and cross-country, cross-fund persistence (which might arise from other reaction lags - such as contagion - across both countries and funds).

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Format: PDF | Size: 1,011KB | Date: Oct 2002 | Pages: 38

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