Yousefi Hamed, Najand Mohammad
Department of Finance, Strome College of Business, Old Dominion University, USA.
Int Rev Financ Anal. 2022 Oct;83:102261. doi: 10.1016/j.irfa.2022.102261. Epub 2022 Jul 3.
We examine the relations between dollar flows of U.S. listed ETFs with exposure to the U.S., Europe, Asia, and the rest of the world following an emergency like the COVID-19 crisis. Using a Markov Switching Model (MSVAR), we find evidence that investors use ETFs to gain exposure to foreign markets and swiftly adjust their portfolio's allocation in response to the change in the number of COVID-19 infected people in every location. We further extend our study to ETFs listed in the U.S., Europe, and Asia and investigate the change in foreign and domestic money flow, before and after the pandemic. We show that investors around the world rebalance their portfolios by monitoring the countries' performance in controlling the pandemic. Our findings show that while investors in the U.S. and Asian countries direct their money to domestic funds and reduce their foreign investment following the pandemic, European investors increase foreign investment and reduce home bias. This is consistent with the flight-to-safety effect when investors shift their asset allocation away from riskier investments (here riskier locations) and into safer ones during the adverse economic shock.
我们研究了在新冠疫情等紧急情况之后，投资于美国、欧洲、亚洲和世界其他地区的美国上市交易型开放式指数基金（ETF）的资金流动之间的关系。使用马尔可夫切换模型（MSVAR），我们发现有证据表明，投资者利用ETF来投资外国市场，并根据各地新冠感染人数的变化迅速调整其投资组合的配置。我们进一步将研究扩展到在美国、欧洲和亚洲上市的ETF，并调查疫情前后国内外资金流动的变化。我们表明，世界各地的投资者通过监测各国在控制疫情方面的表现来重新平衡他们的投资组合。我们的研究结果表明，虽然美国和亚洲国家的投资者在疫情后将资金投入国内基金并减少外国投资，但欧洲投资者增加了外国投资并减少了本土偏好。这与风险规避效应一致，即在不利的经济冲击期间，投资者将资产配置从风险较高的投资（这里指风险较高的地区）转向更安全的投资。
