Asset Fire Sales and Purchases and the International Transmission of Funding Shocks
研究发现，发达国家基金的资金流动会迫使它们调整新兴市场投资组合，这种抛售行为影响新兴市场股价、相关性和贝塔值，且不同于单纯的基金持仓或重叠所有权效应。
ABSTRACT We identify a new channel for the transmission of shocks across international markets. Investor flows to funds domiciled in developed markets force significant changes in these funds' emerging market portfolio allocations. These forced trades or “fire sales” affect emerging market equity prices, correlations, and betas, and are related to but distinct from effects arising purely from fund holdings or from overlapping ownership of emerging markets in fund portfolios. A simple model and calibration exercise highlight the importance to these findings of “push” effects from funds' domicile countries and “co‐ownership spillover” between markets with overlapping fund ownership.