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Portfolio Capital Flows in Thailand: A Bayesian Model Averaging Approach

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  • Somrasri Yupho
  • Xianguo Huang

Abstract

We study the gross and net terms of portfolio capital flows by examining their determinants. Through the application of the Bayesian model averaging method, the determinants are evaluated by a set of models instead of a single specification. Our findings show that the magnitude of both gross equity and gross debt flows are large, relative to their net terms. Equity inflows and outflows are quite symmetric with similar determinants; debt inflows and outflows are less symmetric. The paper provides partial evidence to support the importance of both internal and external factors as determinants of capital flows.

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  • Somrasri Yupho & Xianguo Huang, 2014. "Portfolio Capital Flows in Thailand: A Bayesian Model Averaging Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(S2), pages 89-99.
    • Handle: RePEc:mes:emfitr:v:50:y:2014:i:s2:p:89-99
    DOI: 10.2753/REE1540-496X5002S206
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    1. Grzegorz Tchorek & Michał Brzozowski & Paweł Śliwiński, 2017. "Determinants of capital flows to emerging and advanced economies between 1990 and 2011," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(1), pages 17-48, April.
    2. Boonman, Tjeerd M., 2023. "Portfolio capital flows before and after the Global Financial Crisis," Economic Modelling, Elsevier, vol. 127(C).
    3. Yu Ma & Xinqian Du, 2022. "Exchange rate factors, income levels, and investment abroad: An empirical study based on a sample of emerging economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1711-1730, April.
    4. French, Joseph J. & Li, Wei-Xuan, 2017. "Sentiment, foreign equity flows, and returns: Evidence from Thailand’s stock markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 816-831.
    5. Boonman, Tjeerd, 2023. "Have drivers of portfolio capital flows changed since the Global Financial Crisis?," MPRA Paper 116507, University Library of Munich, Germany.

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