Asset Fire Sales and Purchases and the International Transmission of Funding Shocks

• 成果类型: Article
• 署名作者: Jotikasthira, Chotibhak; Lundblad, Christian; Ramadorai, Tarun
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of Oxford
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01780.x
• 发表日期: 2012
• 页码: 2015-2050
• 关键词: BID-ASK SPREAD; Domestic investors; Portfolio flows; demand curves; HOME BIAS; liquidity; price; crises; contagion; MODEL

摘要

We identify a new channel for the transmission of shocks across international markets. Investor flows to funds domiciled in developed markets force significant changes in these funds emerging market portfolio allocations. These forced trades or fire sales affect emerging market equity prices, correlations, and betas, and are related to but distinct from effects arising purely from fund holdings or from overlapping ownership of emerging markets in fund portfolios. A simple model and calibration exercise highlight the importance to these findings of push effects from funds domicile countries and co-ownership spillover between markets with overlapping fund ownership.