International Asset Allocations and Capital Flows: The Benchmark Effect

Raddatz, Claudio; Schmukler, Sergio L.; Williams, Tomás

doi:10.2139/ssrn.2566093

Cited by 15 publications

(17 citation statements)

References 52 publications

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“…Raddatz et al . () provide an overview of the issues that arise from changes in the composition of benchmark indices. For example, countries that are downgraded from advanced economy status to EM status may, counterintuitively, see increased capital inflows due to the large amount of capital tracking the EMs benchmark.…”

Section: Classification Of Capital Flows Analysed In the Literaturementioning

confidence: 99%

What Drives Capital Flows to Emerging Markets? A Survey of the Empirical Literature

Sgherri

2018

Journal of Economic Surveys

298

199

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This paper reviews the rapidly growing empirical literature on the drivers of capital flows to emerging markets. The empirical evidence is structured based on the recognition that the drivers of capital flows vary over time and across different types of capital flows. The drivers are classified using the traditional distinction between 'push' and 'pull' drivers, which continues to serve as a useful framework. Push factors like global risk aversion and external interest rates are found to matter most for portfolio debt and equity flows, but somewhat less for banking flows. Pull factors such as domestic output growth, asset returns and country risk matter for all three capital flows components, but most for banking flows.

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Section: Classification Of Capital Flows Analysed In the Literaturementioning

confidence: 99%

What Drives Capital Flows to Emerging Markets? A Survey of the Empirical Literature

Sgherri

2018

Journal of Economic Surveys

298

199

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“…Mingchao used extended complete Chebyshev system to give upper bounds for the number of isolated periodic solutions of some perturbed Abel equations [3] .Claudio Raddatz analyzed international asset allocations and capital flow by using benchmark effect [4] . Recently, Yong-Jun Liu used studied international asset allocation optimization by usingthe fuzzy theory [5] .…”

Section: Introductionmentioning

confidence: 99%

How to Optimize China’s International Assets Allocation Based on the Data of BRICS

Yang¹,

Shi²

2020

Proceedings of the International Conference on Arts, Humanity and Economics, Management (ICAHEM 2019)

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“…When institutional investors receive funds from their underlying investors, they tend to invest those funds into emerging economies' equity markets according to the weights of those economies in the MSCI index (Raddatz et al, 2017). The time variation of each country's 5 MSCI weight should primarily reflect shocks to the market values of the other 24 countries' stock markets.…”

Section: Introductionmentioning

confidence: 99%

“…Changes in MSCI weights should affect capital inflows not only as an indicator of market value changes in other countries, but also because some foreign investors, such as emerging market mutual funds, follow closely the MSCI index when setting their portfolio holdings (Raddatz et al, 2017). When those investors receive funds from their ultimate fund suppliers, they invest those funds into emerging economies' equity markets according to the proportion of those economies in the MSCI index.…”

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confidence: 99%

Capital Inflows, Equity Issuance Activity, and Corporate Investment

Calomiris

Larraín

Schmukler

2018

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We use issuance-level data to study how equity capital inflows that enter emerging market economies affect equity issuance and corporate investment. We show that foreign inflows are strongly correlated with country-level issuance. The relation reflects the behavior of large issuers issuing in domestic equity markets and that of firms issuing in international markets. Those larger, more liquid, and highly valued firms are the ones more likely to raise equity when their country receives capital inflows. To identify supply-side shocks, we instrument capital inflows into each country with exogenous changes in other countries' attractiveness to foreign investors. Shifts in the supply of foreign capital are important drivers of increased equity inflows. Instrumented inflows lead a subset of firms (large domestic issuers and foreign issuers) to raise new equity, which they use mainly to fund investment. Corporate investment increases between one-tenth and four-tenths the amount of foreign equity capital entering the country.

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International Asset Allocations and Capital Flows: The Benchmark Effect

Cited by 15 publications

References 52 publications

What Drives Capital Flows to Emerging Markets? A Survey of the Empirical Literature

What Drives Capital Flows to Emerging Markets? A Survey of the Empirical Literature

How to Optimize China’s International Assets Allocation Based on the Data of BRICS

Capital Inflows, Equity Issuance Activity, and Corporate Investment

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