Global uncertainties and portfolio flow dynamics of the BRICS countries

Oğuzhan Çepni; Selçuk Gül; Yavuz Selim Hacıhasanoğlu; Muhammed Hasan Yılmaz

doi:10.1016/j.ribaf.2020.101277

Global uncertainties and portfolio flow dynamics of the BRICS countries

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

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	101277
Journal	Research in International Business and Finance
Volume	54
DOIs	https://doi.org/10.1016/j.ribaf.2020.101277
Publication status	Published - Dec 2020

Access to Document

10.1016/j.ribaf.2020.101277

Cite this

@article{471e5a5a3e914918981aeb7ac877a061,

title = "Global uncertainties and portfolio flow dynamics of the BRICS countries",

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.",

author = "Oğuzhan {\c C}epni and Sel{\c c}uk G{\"u}l and Hacıhasanoğlu, {Yavuz Selim} and Yılmaz, {Muhammed Hasan}",

year = "2020",

month = dec,

doi = "10.1016/j.ribaf.2020.101277",

language = "English",

volume = "54",

pages = "101277",

journal = "Research in International Business and Finance",

issn = "0275-5319",

publisher = "Elsevier",

}

TY - JOUR

T1 - Global uncertainties and portfolio flow dynamics of the BRICS countries

AU - Çepni, Oğuzhan

AU - Gül, Selçuk

AU - Hacıhasanoğlu, Yavuz Selim

AU - Yılmaz, Muhammed Hasan

PY - 2020/12

Y1 - 2020/12

N2 - 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.

AB - 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.

U2 - 10.1016/j.ribaf.2020.101277

DO - 10.1016/j.ribaf.2020.101277

M3 - Article

C2 - 34173401

SN - 0275-5319

VL - 54

SP - 101277

JO - Research in International Business and Finance

JF - Research in International Business and Finance

ER -

Global uncertainties and portfolio flow dynamics of the BRICS countries

Abstract

Access to Document

Fingerprint

Cite this