We test whether foreign investors are the vectors of contagion to emerging markets, as various theoretical models imply. We also explore the role of local institutions and individuals during and after contagion days. To do this, we propose a novel measure of contagion and estimate its dynamic relationship with the net purchases of each of the three groups of investors, from 2007 to 2016, in seven emerging markets. We find that foreign investors bring contagion by actively selling and impacting local prices on days of large declines in the US stock market and the days following. Local institutions are also net sellers on the day of contagion, while individuals act as the main liquidity providers, but institutions become net buyers soon after.

我们测试外国投资者是否像各种理论模型所暗示的那样是向新兴市场蔓延的载体。我们还探讨了当地机构和个人在传染期间和之后的作用。为此，我们提出了一种新的传染衡量方法，并估计了它与 2007 年至 2016 年七个新兴市场中三组投资者中每一组的净购买量的动态关系。我们发现，外国投资者在美国股市大幅下跌的日子和随后的日子里积极抛售并影响当地价格，从而带来了传染。当地机构在蔓延当天也是净卖家，而个人是主要的流动性提供者，但机构很快就会成为净买家。