Cyclical behavior of international fund flows

Suxiao Li; Jakob de Haan; Bert Scholtens

doi:10.1016/j.ribaf.2017.07.123

Cyclical behavior of international fund flows

Suxiao Li, Jakob de Haan, Bert Scholtens

Centre for Responsible Banking and Finance

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Abstract

We investigate the cyclicality of international fund flows employing correlation and regression analysis using monthly data for almost 70 countries between 1996 and 2013. International fund flows are cross-border investments by global funds. Our results suggest that contemporaneously international fund flows are counter-cyclical: fund flows are above trend when output is below trend. Bond flows are more counter-cyclical than equity flows. Furthermore, the counter-cyclical behavior of fund flows has become more pronounced after the global financial crisis. Fund flows into non-OECD countries are mainly driven by global factors while fund flows into OECD countries are more influenced by country-specific factors.

Original language	English
Pages (from-to)	99-112
Journal	Research in International Business and Finance
Volume	43
Early online date	17 Jul 2017
DOIs	https://doi.org/10.1016/j.ribaf.2017.07.123
Publication status	Published - Jan 2018

Keywords

International fund flows
Cyclicality
Equity flows
Bond flows
Push and pull factors

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10.1016/j.ribaf.2017.07.123

Scholtens_2017_RIBF_CyclicalBehavior_AAM
© 2017 Elsevier Ltd. All rights reserved. This work has been made available online in accordance with the publisher’s policies. This is the author created, accepted version manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at https://doi.org/10.1016/j.ribaf.2017.07.123
Accepted author manuscript, 774 KBLicence: CC BY-NC-ND

Cite this

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title = "Cyclical behavior of international fund flows",

abstract = "We investigate the cyclicality of international fund flows employing correlation and regression analysis using monthly data for almost 70 countries between 1996 and 2013. International fund flows are cross-border investments by global funds. Our results suggest that contemporaneously international fund flows are counter-cyclical: fund flows are above trend when output is below trend. Bond flows are more counter-cyclical than equity flows. Furthermore, the counter-cyclical behavior of fund flows has become more pronounced after the global financial crisis. Fund flows into non-OECD countries are mainly driven by global factors while fund flows into OECD countries are more influenced by country-specific factors.",

keywords = "International fund flows, Cyclicality, Equity flows, Bond flows, Push and pull factors",

author = "Suxiao Li and {de Haan}, Jakob and Bert Scholtens",

note = "This research is supported by National Natural Science Foundation of China (NSFC Grant Numbers: 71273257, 71532013).",

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language = "English",

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AU - Li, Suxiao

AU - de Haan, Jakob

AU - Scholtens, Bert

N1 - This research is supported by National Natural Science Foundation of China (NSFC Grant Numbers: 71273257, 71532013).

PY - 2018/1

Y1 - 2018/1

N2 - We investigate the cyclicality of international fund flows employing correlation and regression analysis using monthly data for almost 70 countries between 1996 and 2013. International fund flows are cross-border investments by global funds. Our results suggest that contemporaneously international fund flows are counter-cyclical: fund flows are above trend when output is below trend. Bond flows are more counter-cyclical than equity flows. Furthermore, the counter-cyclical behavior of fund flows has become more pronounced after the global financial crisis. Fund flows into non-OECD countries are mainly driven by global factors while fund flows into OECD countries are more influenced by country-specific factors.

AB - We investigate the cyclicality of international fund flows employing correlation and regression analysis using monthly data for almost 70 countries between 1996 and 2013. International fund flows are cross-border investments by global funds. Our results suggest that contemporaneously international fund flows are counter-cyclical: fund flows are above trend when output is below trend. Bond flows are more counter-cyclical than equity flows. Furthermore, the counter-cyclical behavior of fund flows has become more pronounced after the global financial crisis. Fund flows into non-OECD countries are mainly driven by global factors while fund flows into OECD countries are more influenced by country-specific factors.

KW - International fund flows

KW - Cyclicality

KW - Equity flows

KW - Bond flows

KW - Push and pull factors

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DO - 10.1016/j.ribaf.2017.07.123

M3 - Article

SN - 0275-5319

VL - 43

SP - 99

EP - 112

JO - Research in International Business and Finance

JF - Research in International Business and Finance

ER -

Cyclical behavior of international fund flows

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Keywords

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