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Global financial crisis, foreign portfolio investment and volatility
Pacific Accounting Review Pub Date : 2020-02-03 , DOI: 10.1108/par-07-2019-0090
Abdelkader Derbali , Ali Lamouchi

The purpose of this paper is to understand and compare the extent and nature of the impact of foreign portfolio investment (FPI) on the stock market volatility, particularly in the Southeast Asian emerging markets, and compare that against the corresponding experience of Indian economy, in the context of a global financial crisis of the recent past.,The Asian emerging markets are now being perceived as becoming financially more and more vulnerable to international events because of their growing exposure to unstable foreign investment flows. The daily net FPI inflow and the daily leading stock market composite index of four countries, namely, Thailand, the Philippines, Indonesia and India, have been analyzed using autoregressive conditional heteroscedasticity (ARCH)-generalized ARCH group of models dividing the study period from 2000 to 2014 among pre-crisis, crisis and post-crisis period separately.,The study reveals that the net inflow of FPI has been a significant determinant of stock market returns in all countries. The impact of volatility spillover from the FPI market to the stock market in the sample countries has been found to be different under different market conditions. The past information and volatility clustering have been significantly influencing the stock market return volatilities of all these Southeast Asian countries on average.,However, there are significant country-wise differences in the relative importance and direction of the relationship of each of these effects with the volatility of the FPI and the stock markets. These effects have been different in these four different markets and they have significantly altered in strength and significance during the global financial crisis and in the post-financial crisis period.

中文翻译:

全球金融危机,外国证券投资和动荡

本文的目的是了解并比较外国证券投资(FPI)对股市波动的影响的程度和性质,尤其是在东南亚新兴市场,并将其与印度经济的相应经验进行比较。在最近发生的全球金融危机的背景下,由于人们越来越多地接受不稳定的外国投资,亚洲新兴市场在金融上越来越容易受到国际事件的影响。泰国,菲律宾,印度尼西亚和印度这四个国家的每日FPI净流入量和每日领先股票市场综合指数,使用自回归条件异方差(ARCH)广义ARCH模型进行了分析,研究将2000年至2014年的研究期分别划分为危机前,危机和危机后时期。该研究表明FPI的净流入是所有国家股市收益的重要决定因素。已经发现,在不同的市场条件下,样本国家从FPI市场到股票市场的波动性溢出影响是不同的。过去的信息和波动率聚类平均显着影响所有这些东南亚国家的股票市场收益率波动率。这些影响与FPI和股票市场的波动之间的关系的相对重要性和方向,在国家范围内存在很大差异。这些影响在这四个不同的市场中有所不同,并且在全球金融危机期间和后金融危机期间,它们的实力和重要性都发生了重大变化。
更新日期:2020-02-03
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