Rational Contagion and the Globalization of Securities Markets
| dc.contributor.author | Calvo, Guillermo A. | |
| dc.contributor.author | Mendoza, Enrique G. | |
| dc.date.accessioned | 2007-02-16T18:42:00Z | |
| dc.date.available | 2007-02-16T18:42:00Z | |
| dc.date.issued | 2000-06 | |
| dc.description.abstract | This paper argues that globalization may promote contagion by weakening incentives for gathering costly information and by strengthening incentives for imitating arbitrary market portfolios. In the presence of short-selling constraints, the gain of gathering information at a fixed cost may diminish as markets grow. Moreover, if a portfolio manager’s marginal cost for yielding below-market returns exceeds the marginal gain for above-market returns, there is a range of optimal portfolios in which all investors imitate arbitrary market portfolios and this range widens as the market grows. Numerical simulations suggest that these frictions can have significant implications for capital flows in emerging markets. | en |
| dc.format.extent | 313369 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.citation | Calvo, Guillermo A. and Enrique G. Mendoza, "Rational Contagion and the Globalization of Securities Markets," Journal of International Economics, Volume 51, Issue 1, June 2000, Pages 79-113. | en |
| dc.identifier.uri | http://hdl.handle.net/1903/4291 | |
| dc.language.iso | en_US | en |
| dc.publisher | Elsevier | en |
| dc.relation.isAvailableAt | Digital Repository at the University of Maryland | en_us |
| dc.relation.isAvailableAt | Economics Department | en_us |
| dc.relation.isAvailableAt | College of Behavioral and Social Sciences | en_us |
| dc.relation.isAvailableAt | University of Maryland (College Park, Md.) | en_us |
| dc.rights.license | Journal of International Economics: http://ees.elsevier.com/jie/ | en_us |
| dc.subject | Herd behavior | en |
| dc.subject | contagion | en |
| dc.subject | capital mobility | en |
| dc.subject | international portfolio diversification | en |
| dc.title | Rational Contagion and the Globalization of Securities Markets | en |
| dc.type | Article | en |