How ETFs Amplify the Global Financial Cycle in Emerging Markets
| Autor: | Nathan Converse, Tomas Williams, Eduardo Levy Yeyati |
|---|---|
| Rok vydání: | 2023 |
| Předmět: |
Finance
Economics and Econometrics Human migration business.industry 050204 development studies Bond 05 social sciences 0507 social and economic geography Equity (finance) Investment (macroeconomics) Unobservable Identification (information) Accounting 0502 economics and business Emerging markets business 050703 geography Global risk |
| Zdroj: | The Review of Financial Studies. |
| ISSN: | 1465-7368 0893-9454 |
| Popis: | Since the early 2000s exchange-traded funds (ETFs) have grown to become an important investment vehicle worldwide. In this paper, we study how their growth affects the sensitivity of international capital flows to the global financial cycle. We combine comprehensive fundlevel data on investor flows with a novel identification strategy that controls for unobservable time-varying economic conditions at the investment destination. For dedicated emerging market funds, we find that the sensitivity of investor flows to global risk factors for equity (bond) ETFs is 1.5 (1.25) times higher than for equity (bond) mutual funds. In turn, we show that in countries where ETFs hold a larger share of financial assets, total cross-border equity flows and prices are significantly more sensitive to global risk factors. We conclude that the growing role of ETFs as a channel for international capital flows amplifies the incidence of the global financial cycle in emerging markets. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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