Fund Flows, Stock Markets, and Economic Policy Uncertainty: From the Perspective a CIVET Nation

被引：2

作者：

French, Joseph J. ^{[1
,3
]}

Schaberl, Philipp D. ^{[1
]}

Taborda, Rodrigo ^{[2
]}

机构：

[1] Univ Northern Colorado, Monfort Coll Business, Greeley, CO USA

[2] Univ Andes, Fac Adm, Bogota, Colombia

[3] Univ Northern Colorado, Monfort Coll Business, Campus Box 128, Greeley, CO 80639 USA

来源：

EMERGING MARKETS FINANCE AND TRADE | 2024年 / 60卷 / 05期

关键词：

Capital flows; EPU; fund flows; spillovers; uncertainty; F21; F39; G11; EQUITY FLOWS; FOREIGN INVESTORS; TIME-SERIES; RETURNS; INVESTMENT; IMPACT; PRICE;

D O I：

10.1080/1540496X.2023.2259058

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the relationships among economic policy uncertainty (EPU), equity fund flows (EFF), and the Colombian stock market. Results show adverse impacts of domestic, global, and regional EPUs on Colombia's stock returns and EFF. Global and regional EPUs transmit to Colombian EPU which makes the market vulnerable to uncertainty shocks. A global EPU shock reduces returns by 2.2% the following month, raises Colombian EPU by 12%, and reduces EFF by 0.24%. Furthermore, heightened EPU increases liquidity and reduces stock returns. Our results suggest a feedback loop where uncertainty shocks increase trading, fuel domestic uncertainty, and reduce equity prices.

引用

页码：967 / 982

页数：16

共 32 条

[11] Clements Benedict, 2009, IMF Working Paper 09/30
[12] Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation
Demir, Ender
Gozgor, Giray
Lau, Chi Keung Marco
Vigne, Samuel A.
[J]. FINANCE RESEARCH LETTERS, 2018, 26 : 145 - 149
[13] DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT
DICKEY, DA
FULLER, WA
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) : 427 - 431
[14] Policy uncertainty, investment, and the cost of capital
Drobetz, Wolfgang
El Ghoul, Sadok
Guedhami, Omrane
Janzen, Malte
[J]. JOURNAL OF FINANCIAL STABILITY, 2018, 39 : 28 - 45
[15] Economic policy uncertainty and fund flows to the United States
French, Joseph J.
Li, Wei-Xuan
[J]. FINANCE RESEARCH LETTERS, 2022, 45
[16] Dynamic relationships among equity flows, equity returns and dividends: Behavior of U.S. investors in China and India
French, Joseph J.
Naka, Atsuyuki
[J]. GLOBAL FINANCE JOURNAL, 2013, 24 (01) : 13 - 29
[17] A note on US institutional equity flows to Brazil
French, Joseph J.
Li, Wei-Xuan
[J]. REVIEW OF ACCOUNTING AND FINANCE, 2012, 11 (03) : 298 - +
[18] Froot K., 2001, W8472 NBER
[19] Sophistication and price impact of foreign investors in the Brazilian stock market
Goncalves Junior, Walter
Eid Junior, William
[J]. EMERGING MARKETS REVIEW, 2017, 33 : 102 - 139
[20] Are daily cross-border equity flows pushed or pulled?
Griffin, JM
Nardari, F
Stulz, RM
[J]. REVIEW OF ECONOMICS AND STATISTICS, 2004, 86 (03) : 641 - 657

← 1 2 3 4 →