International Asset Allocations and Capital Flows : The Benchmark Effect
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 benchm...
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okr-10986-294442021-05-25T10:54:34Z International Asset Allocations and Capital Flows : The Benchmark Effect Raddatz, Claudio Schmukler, Sergio L. Williams, Tomás BENCHMARK INDEX CONTAGION INTERNATIONAL ASSET PRICES INTERNATIONAL PORTFOLIO FLOWS MUTUAL FUNDS EXCHANGE-TRADE FUNDS ETFs 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. 2018-03-08T20:52:44Z 2018-03-08T20:52:44Z 2017-09 Journal Article Journal of International Economics 0022-1996 http://hdl.handle.net/10986/29444 CC BY-NC-ND 3.0 IGO http://creativecommons.org/licenses/by-nc-nd/3.0/igo World Bank Elsevier Publications & Research :: Journal Article Publications & Research |
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Digital Repository |
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Foreign Institution |
| institution |
Digital Repositories |
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World Bank Open Knowledge Repository |
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World Bank |
| topic |
BENCHMARK INDEX CONTAGION INTERNATIONAL ASSET PRICES INTERNATIONAL PORTFOLIO FLOWS MUTUAL FUNDS EXCHANGE-TRADE FUNDS ETFs |
| spellingShingle |
BENCHMARK INDEX CONTAGION INTERNATIONAL ASSET PRICES INTERNATIONAL PORTFOLIO FLOWS MUTUAL FUNDS EXCHANGE-TRADE FUNDS ETFs Raddatz, Claudio Schmukler, Sergio L. Williams, Tomás International Asset Allocations and Capital Flows : The Benchmark Effect |
| description |
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. |
| format |
Journal Article |
| author |
Raddatz, Claudio Schmukler, Sergio L. Williams, Tomás |
| author_facet |
Raddatz, Claudio Schmukler, Sergio L. Williams, Tomás |
| author_sort |
Raddatz, Claudio |
| title |
International Asset Allocations and Capital Flows : The Benchmark Effect |
| title_short |
International Asset Allocations and Capital Flows : The Benchmark Effect |
| title_full |
International Asset Allocations and Capital Flows : The Benchmark Effect |
| title_fullStr |
International Asset Allocations and Capital Flows : The Benchmark Effect |
| title_full_unstemmed |
International Asset Allocations and Capital Flows : The Benchmark Effect |
| title_sort |
international asset allocations and capital flows : the benchmark effect |
| publisher |
Elsevier |
| publishDate |
2018 |
| url |
http://hdl.handle.net/10986/29444 |
| _version_ |
1764469367062396928 |