International asset allocations and capital flows: The benchmark effect

• 成果类型: Article
• 署名作者: Raddatz, Claudio; Schmukler, Sergio L.; Williams, Tomas
• 署名单位: International Monetary Fund; The World Bank; Pompeu Fabra University; George Washington University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2017.06.007
• 发表日期: 2017
• 页码: 413-430
• 关键词: Benchmark indexes; contagion; ETFs; International asset prices; International portfolio flows; Mutual funds

摘要

Benchmark indexes have become important in financial markets for portfolio investment. In this paper, we study how international equity and bond market indexes impact asset allocations, capital flows, asset prices, and exchange rates across countries. We use unique monthly micro-level data of benchmark compositions and mutual fund investments during 1996-2014. We find that movements in benchmarks appear to have important effects on equity and bond mutual fund portfolio allocations, including passive and active funds. The effects persist after controlling for time-varying industry-level factors, country-specific effects, and macroeconomic fundamentals. Changes in benchmarks not only impact asset allocations, but also capital flows, abnormal returns in aggregate stock and bond prices, and exchange rates. These systemic effects occur not just when benchmark changes are announced, but also later, when they become effective. By impacting country allocations, benchmarks explain apparently counterintuitive movements in capital flows and asset prices, as well as contagion effects. (C) 2017 Published by Elsevier B.V.