This paper studies valuation changes of capital inflows in 19 emerging market economies (EMEs). In most of the EMEs, we find that there are significant valuation changes and a positive rate of return on external liabilities by foreigners. Furthermore, the nonlinear effects of exchange rate movements on valuation changes are investigated using panel smooth transition regression models. Empirical results show that the transition is centered at approximately -22.3% of exchange rate change, which implies that when the exchange rate appreciates more than this level, foreign investment value gains increase considerably.
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United Arab Emirates Univ, Accounting & Finance Dept, Al Ain, U Arab EmiratesUnited Arab Emirates Univ, Accounting & Finance Dept, Al Ain, U Arab Emirates
Naeem, Muhammad Abubakr
Anwer, Zaheer
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Sunway Univ, Sunway Business Sch, Dept Econ & Finance, Petaling Jaya, Selangor, MalaysiaUnited Arab Emirates Univ, Accounting & Finance Dept, Al Ain, U Arab Emirates
Anwer, Zaheer
Karim, Sitara
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Sunway Univ, Sunway Business Sch, Dept Econ & Finance, Petaling Jaya, Selangor, MalaysiaUnited Arab Emirates Univ, Accounting & Finance Dept, Al Ain, U Arab Emirates
Karim, Sitara
Tiwari, Aviral Kumar
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Indian Inst Management Bodh Gaya, Dept Econ, Bodh Gaya, India
Indian Inst Management Bodh Gaya, IIM Bodh Gaya Uruvela,Prabandh Vihar, Bodh Gaya 824234, Bihar, IndiaUnited Arab Emirates Univ, Accounting & Finance Dept, Al Ain, U Arab Emirates