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Financial panic and emerging market funds

Jinjarak, Yothin and Zheng, Huanhuan (2010) 'Financial panic and emerging market funds.' Applied Financial Economics, 20 (23). pp. 1793-1805.

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Abstract

This article studies equity investment of emerging-market funds based on the 2003–2009 weekly data and compares the dynamics of flow and return between tranquil period and financial panic based on the experience of the latest 2008–2009 global financial crisis. First, we find that the well-documented positive feedback trading is a tranquil-period phenomenon such that it is more difficult in general for emerging-market funds to attract new investment in financial panic. Second, the predictive power of flow on return is driven by a combination of price pressure and information effects in tranquil period, while the information effect dominates in financial panic. Third, the underlying co-movements or contagion of flow across the emerging-market funds influence the association between flow and return. Overall, the findings highlight the importance of accounting for state-dependent dynamics as well as cross-regional co-movements in the analysis of flow and return.

Item Type: Journal Articles
SOAS Departments & Centres: Faculty of Law and Social Sciences > School of Finance and Management
ISSN: 14664305
DOI (Digital Object Identifier): 10.1080/09603107.2010.526572
Depositing User: Yothin Jinjarak
Date Deposited: 08 Sep 2010 13:09
URI: http://eprints.soas.ac.uk/id/eprint/10127

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