TY  - JOUR
AU  - Donohue,Jessica Tjornhom
AU  - Froot,Kenneth A.
TI  - The Persistence of Emerging Market Equity Flows
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9241
PY  - 2002
Y2  - September 2002
UR  - http://www.nber.org/papers/w9241
L1  - http://www.nber.org/papers/w9241.pdf
N1  - Author contact info:
Jessica Donohue

Kenneth A. Froot
Graduate School of Business
Harvard University
Soldiers Field
Boston, MA 02163
Tel: 617/495-6677
Fax: 617/496-7357
E-Mail: kfroot@hbs.edu
AB  - The portfolio flows of institutional investors have been found to be highly persistent across countries and individual investment funds.  This paper investigates the source of this persistence in emerging market equities.  We employ the decomposition methodology of Froot and Tjornhom (2002), which decomposes the persistence of flows into four components: (i) own-country, own-fund persistence (which might arise from informed trading within each country by individual funds); (ii) own-country, cross-fund persistence (which might arise from asynchronicities across funds); (iii) cross-country, own-fund persistence (which might arise from asynchonicities within a fund) and (iv) cross-country, cross-fund persistence (which might arise from other reaction lags   such as contagion   across both countries and funds).  We find evidence that all four components are positive in emerging markets.  Our results differ from those in developed countries, in that we attribute approximately 10%-20% of total persistence to cross-country effects (iii) and (iv).  These findings are consistent with stories of contagion, which suggest that demand shifts move predictably from one country to another.  They cannot easily be explained by informed trading alone or by wealth effects.
ER  -