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dc.contributor.authorDarolles, Serge
dc.contributor.authorDudek, Jérémy
dc.contributor.authorLe Fol, Gaëlle
dc.date.accessioned2017-04-03T13:51:33Z
dc.date.available2017-04-03T13:51:33Z
dc.date.issued2016
dc.identifier.issn2115-4430
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16472
dc.language.isoenen
dc.subjectEmerging Marketsen
dc.subjectSovereign Debt Marketen
dc.subjectLiquidity Risk Managementen
dc.subjectDynamic Correlationen
dc.subjectRegime Switching Models Index fundsen
dc.subjectBond marketsen
dc.subjectLiquidityen
dc.subjectLiquidity risken
dc.subjectEconomic statisticsen
dc.subjectCorrelationsen
dc.subjectPortfolio diversificationen
dc.subjectInvestment risken
dc.subjectLiquidsen
dc.subject.ddc658.1en
dc.subject.classificationjelG.G1.G15en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelG.G0.G01en
dc.subject.classificationjelC.C3.C32en
dc.subject.classificationjelC.C0.C01en
dc.titleGauging Liquidity Risk in Emerging Market Bond Index Fundsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenETFs and index funds have grown at very rapid rates in recent years. Originally launched totrack some large liquid indices in developed markets, they now also concern less liquid assetclasses such as emerging market bonds. Illiquidity certainly affects the quality of the replication,and in particular, liquidity might increase the tracking error of any index fund, i.e., thedifference between the fund and the benchmark returns. The tracking error is then the firstcharacteristic that investors consider when they select index funds. In this paper, we beginfrom the CDS-bond basis to simulate the tracking error (TE) of a hypothetical well-diversifiedfund investing in the emerging market bond universe. We compute the CDS-bond basis andthe tracking error for 9 emerging market sovereign entities: Brazil, Chile, Hungary, Mexico,Poland, Russia, South Africa, Thailand and Turkey. All of these countries are included inthe MSCI Emerging Market Debt in Local Currency index. Our sample period ranges fromJanuary 1, 2007 to March 26, 2012. Using a Regime Switching for Dynamic Correlations(RSDC) model, we show that the country-by-country tracking error is reduced by the diversificationat the fund level. Moreover, we show that this diversification effect is less effectiveduring crisis periods. This loss of diversification benefits is the main risk of index funds when they are designed to create a liquid exposure to illiquid asset classesen
dc.relation.isversionofjnlnameAnnals of Economics and Statistics
dc.relation.isversionofjnlvol123/124en
dc.relation.isversionofjnldate2016-12
dc.relation.isversionofjnlpagesp. 247-269en
dc.relation.isversionofdoi10.15609/annaeconstat2009.123-124.0247en
dc.contributor.countryeditoruniversityotherFRANCE
dc.subject.ddclabelOrganisation et finances d'entrepriseen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-04-03T13:27:22Z
hal.person.labIds1032
hal.person.labIds
hal.person.labIds1032
hal.identifierhal-01500712*


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