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Domestic and Foreign Mutual Funds in Mexico.

Author: Jasmine Xiao
Publisher: Washington : International Monetary Fund, 2015.
Series: IMF Working Papers.
Edition/Format:   eBook : Document : English
Summary:
This paper utilizes a new dataset of foreign and domestic mutual funds in Mexico to assess their behavior and obtains three new findings. First, foreign mutual funds are more sensitive to global financial conditions and engage more in herding and positive feedback trading than domestic mutual funds, notably during episodes of market stress. Second, the behavior of foreign funds differs substantially across types of  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Xiao, Jasmine.
Domestic and Foreign Mutual Funds in Mexico: Do They Behave Differently?
Washington : International Monetary Fund, ©2015
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jasmine Xiao
ISBN: 9781484389867 1484389867 9781484388891 1484388895
OCLC Number: 911001073
Description: 1 online resource (34 pages).
Contents: Cover; Contents; I. Introduction; Tables; 1. Number of Foreign Mutual Funds Active in Mexico; Figures; 1. Gross Portfolio Inflows and Cumulative Flows of Mutual (Bond) Funds to; 2. Volatility Clustering in the Mexican Financial Market; II. Overview of Mutual Fund Data; 3. Cumulative Bond and Equity Flows for Foreign and Domestic Mutual Funds; 4. Cumulative Bond and Equity Flows for Foreign Mutual Funds by Fund Types; III. Correlated Selling and Herding Behavior; 5. Percentage of Net Sellers among Foreign Mutual Funds; 6. Percentage of Net Sellers (Foreign versus Domestic) During Tapering. 7. Herding among Foreign Equity and Bond Funds Investing in Mexico2. Percentage of Net Sellers among All Foreign Funds Active in Mexico; IV. Global Factors and Positive Feedback Trading; 3. Herding Indices for All Foreign Funds Active in Mexico; 4. Evidence on Sensitivities of Fund Flows to VIX (Domestic vs. Foreign Funds); 5. Evidence on Momentum Trading Behavior (Domestic vs. Foreign Funds); V. Effect of Fund Characteristics; 6. Percentage of Net Sellers among Foreign Funds by Fund Characteristics; 7. Herding Indices for Foreign Funds by Fund Characteristics. 8. Evidence on Sensitivities of Fund Flows to VIX9. Evidence Momentum Trading Behavior; VI. Do Foreign Flows Affect Market Volatility?; VII. Concluding Remarks; 10. Excess demand by Foreign & Domestic Mutual Funds and Volatility of Domestic Returns; Appendices; I. Definition of Fund Characteristics; II. Asset Classification for Domestic Mutual Funds; III. Construction of the Herding Index; IV. Robustness Checks.
Series Title: IMF Working Papers.

Abstract:

This paper utilizes a new dataset of foreign and domestic mutual funds in Mexico to assess their behavior and obtains three new findings. First, foreign mutual funds are more sensitive to global financial conditions and engage more in herding and positive feedback trading than domestic mutual funds, notably during episodes of market stress. Second, the behavior of foreign funds differs substantially across types of funds: bond funds are more sensitive to global factors and engage more in positive feedback trading than equity funds; funds sold to retail investors, open-end funds, small funds, a.

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