Do Short-Selling and Margin Trading Impact the Replication of Emerging Market Indexes?
研究发现，允许保证金交易和卖空时，美国上市证券可复制新兴市场指数；若禁止，则新兴市场资产无法被复制，这对对冲基金和被动投资者有重要启示。
The diversification benefits of investing in emerging equity markets are reported to be declining as emerging and developed markets become more correlated. Yet U.S. traded securities can be used to replicate emerging market indexes if margin trading and short sales are allowed (but not if short sales are prohibited). In other words, hedge fund managers who can trade on margin and sell short can obtain the benefits of investing in emerging market assets by forming portfolios of U.S. traded securities. If investment managers are prohibited by law or by policy from engaging in margin trading or short sales, emerging market assets are unique and cannot be replicated using U.S. traded securities. <bold>TOPICS:</bold> <ext-link>Emerging</ext-link>, <ext-link>mutual funds/passive investing/indexing</ext-link>, <ext-link>equity portfolio management</ext-link>