Rational contagion and the globalization of securities markets

• 成果类型: Article; Proceedings Paper
• 署名作者: Calvo, GA; Mendoza, EG
• 署名单位: Duke University; University System of Maryland; University of Maryland College Park; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(99)00038-0
• 发表日期: 2000
• 页码: 79-113
• 关键词: Herd behavior; contagion; capital mobility; international portfolio diversification

摘要

This paper argues that globalization may promote contagion by weakening incentives for gathering costly information and by strengthening incentives for imitating arbitrary market portfolios. In the presence of short-selling constraints, the gain of gathering information at a fixed cost may diminish as markets grow. Moreover, if a portfolio manager's marginal cost for yielding below-market returns exceeds the marginal gain for above-market returns, there is a range of optimal portfolios in which all investors imitate arbitrary market portfolios and this range widens as the market grows. Numerical simulations suggest that these frictions can have significant implications for capital flows in emerging markets. (C) 2000 Elsevier Science B.V. All rights reserved.