The Asset Allocation of Emerging Market Mutual Funds

27 Pages Posted: 20 Sep 2001

See all articles by Piti Disyatat

Piti Disyatat

International Monetary Fund (IMF) - Research Department

Gaston Gelos

International Monetary Fund

Date Written: August 2001

Abstract

Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international contagion phenomena. Using a dataset containing the country allocation of individual dedicated emerging market equity funds, we assess the relevance of mean-variance optimization and benchmark following, finding strong evidence for both. We also present a framework to systematically extract useful information about market expectations from funds' holdings.

Keywords: Asset allocation, portfolio choice, contagion, emerging markets

JEL Classification: G11, G15, F21

Suggested Citation

Disyatat, Piti and Gelos, R. Gaston, The Asset Allocation of Emerging Market Mutual Funds (August 2001). IMF Working Paper No. 01/111. Available at SSRN: https://ssrn.com/abstract=283838 or http://dx.doi.org/10.2139/ssrn.283838

Piti Disyatat (Contact Author)

International Monetary Fund (IMF) - Research Department ( email )

700 19th Street NW
Washington, DC 20431
United States

R. Gaston Gelos

International Monetary Fund ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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