ISSN:
1573-708X
Keywords:
country fund
;
crisis
;
emerging markets
;
equities
;
expectations
;
asymmetric
;
divergent
;
heterogeneous
;
Mexico
;
peso
;
F30
;
F34
;
G15
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract It has been suggested that Mexican investors were the “front-runners” in the peso crisis of December 1994, turning pessimistic before international investors. Different expectations about their own economy, perhaps due to asymmetric information, prompted Mexican investors to be the first ones to leave the country. This paper investigates whether data from three Mexican country funds provide evidence that supports the “divergent expectations” hypothesis. We find that, right before the devaluation, Mexican fund Net Asset Values (mainly driven by Mexican investors) dropped first and/or faster than Mexican country fund prices (mainly driven by foreign investors). Moreover, we find that Mexican NAVs tend to Granger-cause the country fund prices. This suggests that causality, in some sense, flows from the Mexico City investor community to the Wall Street investor community.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01886211
Permalink
