publication . Preprint . 2005

Investment Restrictions and Contagion in Emerging Markets

Anna Ilyina;
Open Access
  • Published: 01 Sep 2005
Abstract
The objectives of this paper are: (1) to analyze an optimal portfolio rebalancing by a fund manager in response to a "volatility shock" in one of the asset markets, under sufficiently realistic assumptions about the fund manager's performance criteria and investment restrictions; and (2) to analyze the sensitivity of the equilibrium price of an asset to shocks originating in other fundamentally unrelated asset markets for a given mix of common investors. The analysis confirms that certain combinations of investment restrictions (notably short-sale constraints and benchmark-based performance criteria) can create additional transmission mechanisms for propagating ...
Subjects
free text keywords: Emerging markets;Investment;Investment restrictions, Contagion, investors, asset markets, institutional investors, mutual funds,
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