Determinants of U.S .Equity Flows to Brazil
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
This research investigates the impact of global and financial variables on American equity flows to Brazil. Portfolio flows to Brazil increased 159% in 2009. This rapid increase of foreign investment prompted the Brazilian government to impose a 2% tax on some types of foreign portfolio investment. This paper dissects the factors that predict U.S. equity flows into Brazil. Consistent with existing literature on other countries, this research finds that U.S. equity flows follow high local market returns. It is further documented that U.S. equity flows to Brazil are negatively related to returns on the S&P 500 and U.S. prime interest rates. Finally, this paper uncovers two new variables that predict equity flows to Brazil: 1) an increase in the Brazilian equity market volatility negatively forecasts U.S. equity flows to Brazil; and 2) increases in commodity prices positively predict U.S. investment in Brazil where a 1% increase in commodity prices predicts a 0.5% increase in U.S. purchases of Brazilian equities as a percentage of market capitalization.
Abstract
This research investigates the impact of global and financial variables on American equity flows to Brazil. Portfolio flows to Brazil increased 159% in 2009. This rapid increase of foreign investment prompted the Brazilian government to impose a 2% tax on some types of foreign portfolio investment. This paper dissects the factors that predict U.S. equity flows into Brazil. Consistent with existing literature on other countries, this research finds that U.S. equity flows follow high local market returns. It is further documented that U.S. equity flows to Brazil are negatively related to returns on the S&P 500 and U.S. prime interest rates. Finally, this paper uncovers two new variables that predict equity flows to Brazil: 1) an increase in the Brazilian equity market volatility negatively forecasts U.S. equity flows to Brazil; and 2) increases in commodity prices positively predict U.S. investment in Brazil where a 1% increase in commodity prices predicts a 0.5% increase in U.S. purchases of Brazilian equities as a percentage of market capitalization.
참고문헌 (14)
- Bekaert, G., "The dynamics of emerging market equity flows", Journal of International Money and Finance, 21(3), pp.295~350 (2002)
- Bohn, H., "U.S. equity investment in foreign markets: Portfolio rebalancing or return chasing?", American Economic Review, 86(2), pp.77~81 (1996)
- Calvo, G. A., "The capital inflows problem: Concepts and issues", Contemporary Economic Policy, 12, pp.54~66 (1994)
- Chuhan, P., "Equity and bond flows to Latin America and Asia : the role of global and country factors", Journal of Development Economics, 55, pp.439~463 (1998)
- Dicky, D., "Distribution of the estimates for autoregressive time series with a unit root", Econometric, 49, pp.1057~1072 (1981)
- Edison, H. J., "Cross-border listings, capital controls, and equity flows to emerging markets", Journal of International Money and Finance, 27(6), pp.1013~1027 (2008)
- Fama, E. F., "Value versus growth : The international evidence", Journal of Finance, 53, pp.1975~1999 (1998)
- French, J. J., "Economics of Emerging Markets", pp.67~97 (2008), Nova Science Publishing
- Hau, H., "Exchange rate, equity prices and capital flows", Review of Financial Studies, 19(1), pp.273~317 (2006)
- Kim, Y., "An empirical analysis on capital flows : The case of Korea and Mexico", Southern Economic Journal, 67(4), pp.954~968 (2001)
- Newey, W. K., "A Simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix", Econometrica, 55(3), pp.703~708 (1987)
- Portes, R., "The determinants of cross-border equity flows", Journal of International Economics, 65, pp.269~296 (2005)
- Globalization of equity markets and the cost of capital, "Stulz, R.", National Bureau of Economic Research, ~, pp.NBER Working paper 7021 (1999)
- Tesar, L., "U.S. equity investment in emerging stock markets", World Bank Economic Review, 9(1), pp.109~130 (1995)