Domestic and Foreign Mutual Funds in Mexico : Do They Behave Differently? / Jasmine Xiao.

Format:

Book

Government document

Author/Creator:

Xiao, Jasmine.

Series:

IMF Working Papers; Working Paper ; No. 2015/104

IMF Working Papers

Language:

English

Subjects (All):

Capital market--Mexico.

Capital movements--Mexico.

Investments, Foreign--Mexico.

Mutual funds--Mexico.

Local Subjects:

Capital market--Mexico.

Capital movements--Mexico.

Investments, Foreign--Mexico.

Mutual funds--Mexico.

Physical Description:

1 online resource (57 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2015.

Language Note:

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 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, and regional funds also appear to be less stable sources of capital flows. Third, there is indicative evidence that foreign funds’ trading behavior is associated with higher local market volatilities, notably in periods of market stress; however, domestic mutual fund investors played some mitigating role.

Contents:

Cover Page; Title Page; Copyright Page; Contents; Figures; Tables; Appendices; I. Introduction; 1. Number of Foreign Mutual Funds Active in Mexico; 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 Tapering2. Percentage of Net Sellers among All Foreign Funds Active in Mexico; 7. Herding among Foreign Equity and Bond Funds Investing in Mexico; 3. Herding Indices for All Foreign Funds Active in Mexico; IV. Global Factors and Positive Feedback Trading; 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 Characteristics8. Evidence on Sensitivities of Fund Flows to VIX; 9. Evidence Momentum Trading Behavior; VI. Do Foreign Flows Affect Market Volatility?; 10. Excess demand by Foreign & Domestic Mutual Funds and Volatility of Domestic Returns; VII. Concluding Remarks; I. Definition of Fund Characteristics; II. Asset Classification for Domestic Mutual Funds; III. Construction of the Herding Index; IV. Robustness Checks; Footnotes

Notes:

Description based upon print version of record.

Description based on print version record.

ISBN:

9781484388921

1484388925

9781484388891

1484388895