Journal ArticleDOI
Cross-Border Listings, Capital Controls, and U.S. Equity Flows to Emerging Markets
Reads0
Chats0
TLDR
The authors analyzed 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.Abstract:
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.read more
Citations
More filters
Book
Effects of Financial Globalization on Developing Countries: Some Empirical Evidence
TL;DR: The recent wave of financial globalization since the mid-1980s has been marked by a surge in capital flows among industrial countries and, more notably, between industrial and developing countries as discussed by the authors.
Journal ArticleDOI
Foreign shocks and international cost of equity destabilization. Evidence from the MENA region
TL;DR: In this paper, the authors investigated whether foreign financial shocks can destabilize the cost of equity in emerging markets and showed that external shocks can increase the cost in mature emerging markets. But they did not consider the impact of foreign shocks on the international cost of capital.
Foreign institutional investors and security returns: evidence from Indian stock exchanges
TL;DR: This article examined the impact of trading of foreign institutional investors on the major stock indices of India, and found that unexpected flows have a greater impact than expected flows on stock indices, supporting the price pressure hypothesis.
Are daily cross-border equity flows pushed or pulled?
TL;DR: Griffin et al. as discussed by the authors investigated the conditions under which an intertemporal equilibrium model based on investors' portfolio decisions can explain the dynamics of high-frequency equity flows and showed that when there are barriers to international investment and when the expectations of foreign investors are more extrapolative than those of domestic investors, unexpectedly high worldwide or local stock returns lead to net equity inflows in small countries.
Posted Content
International Capital Flows, Economic Growth and Financial Market Efficiency
TL;DR: In this paper, the authors present some further empirical evidence on the topic based on a model of international lending under information asymmetries between borrowers and potential investors, which largely support the view that the economic growth and efficiency of domestic financial markets in developing economies are among the major determinants of foreign capital investments to these countries.
References
More filters
ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Journal ArticleDOI
Dividend yields and expected stock returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the power of dividend yields to forecast stock returns, measured by regression R2, increases with the return horizon, and the authors offer a two-part explanation: high autocorrelation causes the variance of expected returns to grow faster than the return-horizon.
Posted Content
Time-Varying World Market Integration
Geert Bekaert,Campbell R. Harvey +1 more
TL;DR: In this paper, a conditional measure of capital market integration is proposed to characterize both the cross-section and time-series of expected returns in developed and emerging markets, which is based on a conditional regime-switching model.
Journal ArticleDOI
Time‐Varying World Market Integration
Geert Bekaert,Campbell R. Harvey +1 more
TL;DR: In this article, a measure of capital market integration arising from a conditional regime-switching model is proposed to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample.
Journal ArticleDOI
“Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors
TL;DR: The characteristics of recent capital inflows into Latin America are discussed in this paper, where it is argued that these inflows are partly explained by conditions outside the region, like the recession in the United States and lower international interest rates.