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|z 9781451862096
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Ilyina, Anna.
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|a Investment Restrictions and Contagion in Emerging Markets /
|c Anna Ilyina.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2005.
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|a 1 online resource (34 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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 shocks across fundamentally unrelated asset markets. The paper also discusses potential implications of recent and on-going changes in the investor base for emerging market securities for the asset price volatility.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2005/190
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2005/190/001.2005.issue-190-en.xml
|z IMF e-Library
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