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Rational contagion and the globalization of securities markets
Open accessAbstract
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.
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Citations
Cites
On the impossibility of informationally efficient markets
Stiglitz, J. E., & Grossman, S. J. (1980) · Columbia University · doi:10.7916/d8765r99 · Cited by 3,645
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Contagion in financial networks
Gai, P., & Kapadia, S. (2010) · Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences · doi:10.1098/rspa.2009.0410 · Cited by 1,163
Dynamic correlation analysis of financial contagion: Evidence from Asian markets
Chiang, T. C., Jeon, B. N., & Li, H. (2007) · Journal of International Money and Finance · doi:10.1016/j.jimonfin.2007.06.005 · Cited by 894
The Unholy Trinity of Financial Contagion
Kaminsky, G. L., Reinhart, C. M., & Végh, C. A. (2003) · Journal of Economic Perspectives · doi:10.1257/089533003772034899 · Cited by 593
Financial System: Shock Absorber or Amplifier?
Allen, F., & Carletti, E. (2008) · SSRN Electronic Journal · doi:10.2139/ssrn.1165642 · Cited by 23
Metadata
- Authors
- Calvo, G. A., & Mendoza, E. G.
- Venue
- Journal of International Economics
- Publisher
- Elsevier BV
- Published
- 2000-06
- Volume
- 51
- Issue
- 1
- Pages
- 79-113
- ISSN
- 0022-1996 (ISSN-L)
- OpenAlex
- W2891054859
- Cited by
- 952
- References
- 1
- FWCI
- 83.90
- Type
- journal article
- Language
- en
- Open access
- gold
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
