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Global uncertainties and portfolio flow dynamics of the BRICS countries

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  • Çepni, Oğuzhan
  • Gül, Selçuk
  • Hacıhasanoğlu, Yavuz Selim
  • Yılmaz, Muhammed Hasan

Abstract

This paper investigates the dynamics of bond and stock market capital flows to BRICS countries under uncertainties such as global economic policy uncertainty and the US trade policy uncertainty. We use a time-varying Granger causality framework over the January 2008-November 2019 period to analyze the predictive power of uncertainties on capital flows in the form of bond and equity. The results show that the effects are heterogeneous across countries and stronger during the Global Financial Crisis period and post-2018 period while it lost its significance in the subsequent period. The negative influence of uncertainties on capital flows directed to BRICS countries is also evident in the results of non-parametric time-varying panel models. Overall, it is thought that the heterogeneous structure of the causality between uncertainty and portfolio flows into BRICS may present portfolio diversification benefits for global investors.

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  • Çepni, Oğuzhan & Gül, Selçuk & Hacıhasanoğlu, Yavuz Selim & Yılmaz, Muhammed Hasan, 2020. "Global uncertainties and portfolio flow dynamics of the BRICS countries," Research in International Business and Finance, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301501
    DOI: 10.1016/j.ribaf.2020.101277
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    2. Xu, Qifa & Li, Mengting & Jiang, Cuixia, 2021. "Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    3. Liu, Qiming & Liu, Zhenya & Moussa, Faten & Mu, Yuhao, 2024. "International capital flow in a period of high inflation: The case of China," Research in International Business and Finance, Elsevier, vol. 67(PB).

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    More about this item

    Keywords

    Economic policy uncertainty; The US trade policy uncertainty; Time-varying causality; Time-varying coefficients panel data models;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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