Cross-border capital flows and return dynamics in emerging stock markets : relative roles of equity and debt flows

dc.contributor.authorBathia, Deven
dc.contributor.authorBouras, Christos
dc.contributor.authorDemirer, Riza
dc.contributor.authorGupta, Rangan
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2021-09-07T12:17:51Z
dc.date.issued2020-12
dc.description.abstractThis paper examines the effect of cross-border capital flows on financial markets by focusing on the composition of flows, viz. equity and debt flows, and its relative effect on emerging stock market returns and volatility. Using a panel GARCH approach on nine emerging market economies, we find that both equity and debt flows possess incremental information over stock market returns and volatility that is not captured by aggregate capital market risk factors. While the explanatory power of debt flows is relatively stronger and more robust, even after controlling for world market return, global risk, bank credit flows and country-level liquidity, we find that equity flows assume significant explanatory power, particularly during the post-global financial crisis period. The findings overall suggest that emerging stock markets have become particularly sensitive to cross-border capital flows following the great credit crunch, with significant effects on idiosyncratic risks at the country level, while accounting for the composition of portfolio flows can add further explanatory power to stock market models.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2022-08-13
dc.description.librarianhj2021en_ZA
dc.description.urihttp://www.elsevier.com/locate/jimfen_ZA
dc.identifier.citationBathia, D., Bouras, C., Demirer, R. et al. 2020, 'Cross-border capital flows and return dynamics in emerging stock markets : relative roles of equity and debt flows', Journal of International Money and Finance, vol. 109, art.102258, pp. 1-23.en_ZA
dc.identifier.issn0261-5606 (print)
dc.identifier.issn1873-0639 (online)
dc.identifier.other10.1016/j.jimonfin.2020.102258
dc.identifier.urihttp://hdl.handle.net/2263/81702
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2020 Elsevier. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Journal of International Money and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Journal of International Money and Finance, vol. 109, art.102258, pp. 1-23, 2020. doi : 10.1016/j.jimonfin.2020.102258.en_ZA
dc.subjectCross-border portfolio flowsen_ZA
dc.subjectEmerging stock marketsen_ZA
dc.subjectPanel GARCHen_ZA
dc.titleCross-border capital flows and return dynamics in emerging stock markets : relative roles of equity and debt flowsen_ZA
dc.typePreprint Articleen_ZA

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