When in peril, retrench: Testing the portfolio channel of contagion

Journal of International Economics

Volumn 69, Issue 1 SPEC. ISS., 2006, Pages 203-230

  Broner, Fernando A ^a,e   Gaston Gelos, R ^b   Reinhart, Carmen M ^c,d  

^a UNIVERSITAT POMPEU FABRA   (Spain)

^b INTERNATIONAL MONETARY FUND   (United States)

^c UNIVERSITY OF MARYLAND   (United States)

^d NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^e CEPR   (United Kingdom)

Author keywords

Contagion; Emerging markets; Financial crises; International investors; Portfolio choice; Risk aversion

Indexed keywords

FINANCIAL CRISIS; INVESTMENT; STOCK MARKET;

EID: 33747874890     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jinteco.2005.05.004     Document Type: Article

References (39)

1. Allen F., and Gale D. Financial contagion. Journal of Political Economy 108 (2000) 1-33
2. Berg A., and Pattillo C. Are currency crises predictable? A test. IMF Staff Papers 46 (1999) 107-138
3. Bernardo A., and Welch I. Liquidity and financial market runs. Quarterly Journal of Economics 119 (2004) 135-158
4. Borensztein E., and Gelos G. A panic-prone pack? The behavior of emerging market mutual funds. IMF Staff Papers 50 (2003) 43-63
5. Broner, F., Lorenzoni, G., Schmukler, S., 2003. Why do emerging markets borrow short term? Mimeo, CREI.
6. Brown K., Harlow W., and Starks L.T. Of tournaments and temptations: an analysis of managerial incentives in the mutual fund industry. Journal of Finance 51 (1996) 85-110
7. Busse J. Another look at mutual fund tournaments. Journal of Financial and Quantitative Analysis 36 (2001) 53-73
8. Calvo G., and Mendoza E. Rational contagion and the globalization of securities markets. Journal of International Economics 51 (2000) 79-113
9. Caramazza F., Ricci L., and Salgado R. Trade and financial contagion in currency crises. IMF Working Paper 00/55 (2000)
10. Chen, H.L., Pennachi, G., 2002. Does Prior Performance Affect a Mutual Fund's Choice of Risk? Theory and Further Empirical Evidence. Mimeo, University of Illinois.
11. Chevalier J., and Ellison G. Risk taking by mutual funds as a response to incentives. Journal of Political Economy 105 (1997) 1167-1199
12. Daniel, N.D., Wermers, R., 2000. Risk-Taking Behavior by Mutual Fund Managers: Do Managers 'Walk Away' from the Tournament? Mimeo.
13. Disyatat P., and Gelos G. The asset allocation of emerging market mutual funds. IMF Working Paper 01/111 (2001)
14. Froot K., O'Connell P., and Seasholes M. The portfolio flows of international investors: I. Journal of Financial Economics 59 (2001) 151-193
15. Gelos, G., Wei, S., in press. Transparency and International Portfolio Holdings. Journal of Finance
16. Goldstein M. The Asian Financial Crisis (1998), Institute for International Economics, Washington DC
17. Goldstein I., and Pauzner A. Contagion of self-fulfilling financial crises due to diversification of investment portfolios. Journal of Economic Theory 119 (2001) 151-183
18. Grossman S., and Stiglitz J. On the impossibility of informationally efficient markets. American Economic Review 70 (1980) 393-408
19. Harrison J., and Kreps D. Speculative investor behavior in a stock market with heterogeneous expectations. Quarterly Journal of Economics 92 (1978) 323-336
20. Hernández, L., Valdés, R., 2001. What Drives Contagion: Trade, Neighbourhood, or Financial Links? IMF Working Paper WP 01/29.
21. Hong H., and Stein J. Differences of opinion, short sales constraints, and market crashes. Review of Financial Studies 16 (2003) 487-525
22. Ippolito R. Consumer reaction to measures of poor quality: evidence from the mutual fund industry. Journal of Law and Economics 35 (1992) 45-70
23. Johnson S., Boone P., Breach A., and Friedman E. Corporate governance in the asian financial crisis. Journal of Financial Economics 58 (2000) 141-186
24. Kaminsky G., and Reinhart C. On crises, contagion, and confusion. Journal of International Economics 51 (2000) 145-168
25. Kaminsky G., Reinhart C., and Végh C. The unholy trinity of financial contagion. Journal of Economic Perspectives 17 (2003) 51-74
26. Kaminsky G., Lyons R., and Schmukler S. Managers, investors, and crises: mutual fund strategies in emerging markets. Journal of International Economics 64 (2004) 113-134
27. Kodres L., and Pritsker M. A rational expectations model of financial contagion. Journal of Finance 57 (2002) 769-799
28. Koski J., and Pontiff J. How are derivatives used? Evidence from the mutual fund industry. Journal of Finance 54 (1999) 791-816
29. Kumar M., and Persaud A. Pure contagion and investors' shifting risk appetite: analytical issues and empirical evidence. International Finance 5 (2001) 401-436
30. Kyle A., and Xiong W. Contagion as a wealth effect. Journal of Finance 56 (2001) 1401-1440
31. Scharfstein D., and Stein J. Herd behavior and investment. American Economic Review 80 (1990) 465-479
32. Scheinkman J., and Xiong W. Overconfidence and speculative bubbles. Journal of Political Economy 111 (2003) 1183-1219
33. Schinasi G., and Smith T. Portfolio diversification, leverage, and financial contagion. IMF Staff Papers 47 (2000) 159-176
34. Shleifer A., and Vishny R. The limits of arbitrage. Journal of Finance 52 (1997) 35-55
35. Sirri E.R., and Tufano P. Costly search and mutual fund flows. Journal of Finance 54 (1998) 359-375
36. Van Rijckeghem C., and Weder B. Sources of contagion: is it finance or trade?. Journal of International Economics 54 (2001) 293-308
37. Van Rijckeghem C., and Weder B. Spillovers through banking centers: a panel data analysis of bank flows. Journal of International Money and Finance 22 (2003) 483-509
38. World Bank, 2003. Global Development Finance. Washington, D.C.
39. Yuan K. Asymmetric price movements and borrowing constraints: a rational expectations equilibrium model of crises, contagion, and confusion. Journal of Finance 60 (2004) 379-411