We examine the trading strategies of mutual funds in emerging markets. We develop a method for disentangling the behavior of fund managers from that of underlying investors. For both managers and investors, we strongly reject the null hypothesis of no momentum trading: mutual funds...

Kaminsky and Schmukler examine the short- and long-run effects of financial liberalization on capital markets. To do so, they construct a new comprehensive chronology of financial liberalization in 28 developed and emerging economies since 1973. The authors also construct an algorithm to...

Changes in sovereign ratings affect country risk and stock returns. And these changes are transmitted across countries, with neighbor-country effects being more significant.Financial market instability has received attention from both academic and policy circles. Rating agencies have been under...

Do controls on capital flows persistently isolate domestic markets from international markets? Or is the insulation they provide just ephemeral?Kaminsky and Schmukler study whether capital controls affect the link between domestic and foreign stock market prices and interest rates. To examine...

How do mutual funds behave when they invest in emerging economies? For one thing, mutual funds' flows are not stable. Withdrawals from emerging markets during recent crises were large, which squares with existing evidence of financial contagion.International mutual funds are one of the main...

This study of an important class of investors-U.S. mutual funds-finds that mutual funds do engage in momentum trading (buying winners and selling losers). They also engage in contagion trading strategies (selling assets from one country when asset prices fall in another).Kaminsky, Lyons, and...

Movements in stock prices in East Asia during the crisis in 1997-98 were triggered by both local and neighbor-country news. Having the highest impact was news about agreements with international organizations and credit rating agencies. But some changes seem to have been driven by herd instincts...

International mutual funds are key contributors to the globalization of financial markets and one of the main sources of capital flows to emerging economies. Despite their importance in emerging markets, little is known about their investment allocation and strategies. This paper provides an...

This paper studies whether capital controls affect the link between domestic and foreign stock market prices and interest rates. To examine the characteristics of international market integration and the effects of capital controls in the short- and long-run, we use band-pass filter techniques....

Movements in stock prices in East Asia during the crisis in 1997-98 were triggered by both local and neighbor-country news. Having the highest impact was news about agreements with international organizations and credit rating agencies. But some changes seem to have been driven by herd instincts...