UID:
almafu_9958116560402883
Format:
1 online resource (26 pages)
ISBN:
9781455203048
,
1455203041
,
9781462399499
,
1462399495
Series Statement:
IMF Working Papers
Content:
In the past few years there has been a large increase in portfolio capital flows into emerging markets, mostly fueled by mutual funds and other institutional investors. Based on a simple variance ratio test, this paper finds that emerging stock markets as a group experienced a sharp increase in autocorrelation in total returns at a time when institutional investors began to significantly expand their holdings in these markets. These results are consistent with the view that institutional investor sentiment toward emerging markets as an asset class can at times play a critical role in determining asset prices, with shifts in sentiment resulting in periods of bubble-like booms and busts and asset price overshooting.
Note:
Bibliographic Level Mode of Issuance: Monograph
,
English
Additional Edition:
ISBN 9781451978889
Additional Edition:
ISBN 145197888X
Additional Edition:
ISBN 9781455299799
Additional Edition:
ISBN 1455299790
Language:
English
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