The DOI matches its Crossref record; 93 of the 93 references it cites were found in a registry or an index.
Asset Fire Sales and Purchases and the International Transmission of Funding Shocks
Abstract
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.
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Cites
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Cited by
ANTÓN, M., & POLK, C. (2014) · The Journal of Finance · doi:10.1111/jofi.12149 · Cited by 367
Investors' Horizons and the Amplification of Market Shocks
Cella, C., Ellul, A., & Giannetti, M. (2013) · Review of Financial Studies · doi:10.1093/rfs/hht023 · Cited by 330
Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic
Yarovaya, L., Brzeszczyński, J., Goodell, J. W., Lucey, B., & Lau, C. K. M. (2022) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2022.101589 · Cited by 267
Metadata
- Authors
- JOTIKASTHIRA, C., LUNDBLAD, C., & RAMADORAI, T.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2012-11-19
- Volume
- 67
- Issue
- 6
- Pages
- 2015-2050
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3122175930
- Cited by
- 377
- References
- 93
- FWCI
- 49.35
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
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.
