所属栏目:资本市场/投资基金/2023/2023年第01期目录

Propagation Effects of Foreign Mutual Funds in the Chinese Equity Market Amid the COVID-19 Pandemic
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发布日期:2023年01月19日 上次修订日期:2023年01月19日

摘要

The foreign capital flight amid pandemic outbreaks can result in propagation effects in the equity market. With a daily shareholding dataset, this paper investigates the trading behavior of foreign mutual funds in China when it was the epicenter of COVID-19 outbreaks and the subsequent period with global spreads. Using fixed effects and panel structural VAR models, we confirm propagation effects caused by the capital flight of foreign mutual funds. Substantial heterogeneities across foreign funds affiliated and unaffiliated with commercial banks have been uncovered, though they are both found to withdraw from risky stocks as an indication of a "flight to quality." Without implicit guarantees, unaffiliated foreign mutual funds liquidated immediately and more when the pandemic hit China. The resulting price shocks led to further deleverage by bank-affiliated foreign funds on their pre-pandemic risk exposure stocks. Our results shed new light on the behavioral theory of stock market trading featuring fund and stock exposure channels.
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JINHUA ZHANG; YIMIN XU; RUI MAO Propagation Effects of Foreign Mutual Funds in the Chinese Equity Market Amid the COVID-19 Pandemic (2023年01月19日) https://www.cfrn.com.cn/dzqk/detail/15086

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