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| Author | : John M. Griffin |
| Publisher | : |
| Total Pages | : 57 |
| Release | : 2002 |
| Genre | : Capital movements |
| ISBN | : |
Download Daily Cross-border Equity Flows Book in PDF, ePub and Kindle
In a model that is consistent with the existence of a home bias and with foreign investors that are less informed than domestic investors, we show that unexpectedly high worldwide returns lead to net equity inflows into small countries. In addition, a small country experiences net equity inflows when its stocks earn unexpectedly high returns. We investigate these predictions using daily data on net equity flows for nine emerging market countries and find that equity flows are positively related to host country stock returns as well as market performance abroad. Both our theoretical model and our empirical analysis show that global stock return performance is an important factor in understanding equity flows
| Author | : John M. Griffin |
| Publisher | : |
| Total Pages | : |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
Download Are Daily Cross-Border Equity Flows Pushed or Pulled? Book in PDF, ePub and Kindle
We investigate the conditions under which an equilibrium intertemporal model based on portfolio decisions of investors can explain the dynamics of high frequency equity flows. Our model shows that, when there are barriers to international investment and when the expectations of foreign investors are more extrapolative than those of domestic investors (either due to foreigners being less informed or to behavioural reasons), unexpectedly high worldwide or local stock returns lead to net equity inflows in small countries. We investigate these predictions using daily data on net equity flows for nine emerging market countries and find that equity flows are positively related to host country stock returns as well as market performance abroad. Both our theoretical model and out empirical analysis show that global stock return performance is an important factor in understanding equity flows.
| Author | : John M. Griffin |
| Publisher | : |
| Total Pages | : 59 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Download Daily Cross-Border Equity Flows Book in PDF, ePub and Kindle
In a model that is consistent with the existence of a home bias and with foreign investors that are less informed than domestic investors, we show that unexpectedly high worldwide returns lead to net equity inflows into small countries. In addition, a small country experiences net equity inflows when its stocks earn unexpectedly high returns. We investigate these predictions using daily data on net equity flows for nine emerging market countries and find that equity flows are positively related to host country stock returns as well as market performance abroad. Both our theoretical model and our empirical analysis show that global stock return performance is an important factor in understanding equity flows.
| Author | : Ms.Hali J. Edison |
| Publisher | : International Monetary Fund |
| Total Pages | : 44 |
| Release | : 2003-12-01 |
| Genre | : Business & Economics |
| ISBN | : 1451875703 |
Download Cross-Border Listings, Capital Controls, and U.S. Equity Flows to Emerging Markets Book in PDF, ePub and Kindle
We analyze capital flows to emerging markets in a framework that incorporates two quantitative measures of financial integration, the intensity of capital controls and the extent of cross border listings, while controlling for traditional global (push) and country specific (pull) factors. Two important results emerge. First, the cross listing of an emerging market firm on a U.S. exchange is an important but short lived capital flows event, suggesting that the cross listed stock is in effect a new security that U.S. investors quickly bring into their portfolios. Second, the effect of financial liberalization on capital flows is more nuanced than is suggested by event studies: A reduction in capital controls results in increased inflows only when the controls are binding. Among the standard push and pull factors, global factors are important-slack U.S. economic activity is associated with increased flows to emerging markets-and U.S. investors appear to chase expected, but not past, returns.
| Author | : Katharina Bergant |
| Publisher | : International Monetary Fund |
| Total Pages | : 46 |
| Release | : 2020-02-28 |
| Genre | : Business & Economics |
| ISBN | : 1513529234 |
Download International Capital Flows at the Security Level – Evidence from the ECB’s Asset Purchase Programme Book in PDF, ePub and Kindle
We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level. Our empirical analysis shows that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted under the Public Sector Purchase Programme and other euro-denominated debt securities, towards foreign debt instruments, including `closest substitutes', i.e. certain sovereign debt securities issued by non-euro area advanced countries. This rebalancing was particularly strong during the first six quarters of the programme. Our analysis also reveals marked differences across sectors as well as country groups within the euro area, suggesting that quantitative easing has induced heterogeneous portfolio shifts.
| Author | : Mr.Norbert Funke |
| Publisher | : International Monetary Fund |
| Total Pages | : 30 |
| Release | : 2005-03-01 |
| Genre | : Business & Economics |
| ISBN | : 1451860595 |
Download The Composition of Capital Flows Book in PDF, ePub and Kindle
Over the past decade, South Africa has attracted relatively little foreign direct investment (FDI), but considerable amounts of portfolio inflows. In this context, the objective of the paper is twofold: to identify the determinants of the level and composition of capital flows to emerging markets and to draw policy conclusions for South Africa. We estimate a dynamic panel for up to 81 emerging markets using GMM (Generalized Method of Moments) techniques. The results suggest that further trade and capital control liberalization would increase the share of FDI. Additionally, a reduction in exchange rate volatility would affect the composition of capital flows in favor of FDI.
| Author | : Mr.James P. F. Gordon |
| Publisher | : International Monetary Fund |
| Total Pages | : 39 |
| Release | : 2003-01-01 |
| Genre | : Business & Economics |
| ISBN | : 1451843860 |
Download Portfolio Flows Into India Book in PDF, ePub and Kindle
This paper analyzes the factors affecting portfolio equity flows into India using monthly data. Flows to India are small compared to other emerging markets, but seem to be relatively less volatile. They also seem to be quite resilient. The paper shows that portfolio flows are determined by both external and domestic factors. Among external factors, LIBOR and emerging market stock returns are important, while the primary domestic determinants are the lagged stock return and changes in credit ratings. In quantitative terms, both external and domestic factors are found to be about equally important.
| Author | : Mr.R. G Gelos |
| Publisher | : International Monetary Fund |
| Total Pages | : 44 |
| Release | : 2019-12-20 |
| Genre | : Business & Economics |
| ISBN | : 1513522906 |
Download Capital Flows at Risk: Taming the Ebbs and Flows Book in PDF, ePub and Kindle
The volatility of capital flows to emerging markets continues to pose challenges to policymakers. In this paper, we propose a new framework to answer critical policy questions: What policies and policy frameworks are most effective in dampening sharp capital flow movements in response to global shocks? What are the near- versus medium-term trade-offs of different policies? We tackle these questions using a quantile regression framework to predict the entire future probability distribution of capital flows to emerging markets, based on current domestic structural characteristics, policies, and global financial conditions. This new approach allows policymakers to quantify capital flows risks and evaluate policy tools to mitigate them, thus building the foundation of a risk management framework for capital flows.
| Author | : Lado Beridze |
| Publisher | : Nova Publishers |
| Total Pages | : 378 |
| Release | : 2008 |
| Genre | : Business & Economics |
| ISBN | : 9781600218507 |
Download Economics of Emerging Markets Book in PDF, ePub and Kindle
This book presents recent significant research dealing the economics of emerging markets. The term emerging markets is commonly used to describe business and market activity in industrialising or emerging regions of the world. The term is sometimes loosely used as a replacement for emerging economies, but really signifies a business phenomenon that is not fully described by or constrained to geography or economic strength; such countries are considered to be in a transitional phase between developing and developed status. Examples of emerging markets include China, India, Mexico, Brazil, much of Southeast Asia, countries in Eastern Europe, parts of Africa and Latin America. An emerging market is sometimes defined as "a country where politics matters at least as much as economics to the markets."
| Author | : Jasmine Xiao |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2015-05-13 |
| Genre | : Business & Economics |
| ISBN | : 1484388895 |
Download Domestic and Foreign Mutual Funds in Mexico Book in PDF, ePub and Kindle
This paper utilizes a new dataset of foreign and domestic mutual funds in Mexico to assess their behavior and obtains three new findings. First, foreign mutual funds are more sensitive to global financial conditions and engage more in herding and positive feedback trading than domestic mutual funds, notably during episodes of market stress. Second, the behavior of foreign funds differs substantially across types of funds: bond funds are more sensitive to global factors and engage more in positive feedback trading than equity funds; funds sold to retail investors, open-end funds, small funds, and regional funds also appear to be less stable sources of capital flows. Third, there is indicative evidence that foreign funds’ trading behavior is associated with higher local market volatilities, notably in periods of market stress; however, domestic mutual fund investors played some mitigating role.
