Does country qtransparencyq affect international portfolio investment? We examine this and related questions using a unique micro dataset on international portfolio holdings. We employ various indices of government and corporate transparency, focusing on the availability and quality of information. We find that emerging market equity funds hold fewer assets in less transparent countries. Herding among funds is somewhat less prevalent in more transparent countries. During the Asian and Russian crises, emerging market funds withdrew more strongly from less transparent countries after controlling for other risk factors. However, funds tend to react less strongly to news from more opaque markets.Data from International Country Risk Guide (ICRG) The International Country Risk Guide (ICRG) provides monthly values for 22 components grouped into three major categories of risk: political, financial, and economic, with political risk anbsp;...
|Title||:||Transparency and International Investor Behavior (EPub)|
|Author||:||Shang-Jin Wei, Mr. Gaston Gelos|
|Publisher||:||International Monetary Fund - 2002-10-01|