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Rating changes and portfolio flows to emerging markets: Evidence from active and passive funds

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  • Bannier, Christina E.
  • Heyden, Thomas
  • Tillmann, Peter

Abstract

We study the short-term impact of sovereign rating and outlook changes on daily portfolio flows of active and passive mutual funds to emerging market economies. Our results indicate that active bond fund flows react only to negative rating actions, whereas passive bond fund flows are sensitive to both positive and negative rating actions. Active and passive country flows hence do not always follow the same determinants.

Suggested Citation

  • Bannier, Christina E. & Heyden, Thomas & Tillmann, Peter, 2019. "Rating changes and portfolio flows to emerging markets: Evidence from active and passive funds," Economics Letters, Elsevier, vol. 178(C), pages 37-45.
    • Handle: RePEc:eee:ecolet:v:178:y:2019:i:c:p:37-45
    DOI: 10.1016/j.econlet.2019.02.009
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    References listed on IDEAS

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    Cited by:

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    2. L.J. Basson & Sune Ferreira-Schenk & Zandri Dickason-Koekemoer, 2022. "Fractal Dimension Option Hedging Strategy Implementation During Turbulent Market Conditions in Developing and Developed Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 12(2), pages 84-95, March.

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    More about this item

    Keywords

    Emerging markets; Event study; Portfolio flows; Passive funds; Sovereign ratings;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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