Financial, Institutional and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows

REM Working Paper 0235-2022

41 Pages Posted: 8 Aug 2022

See all articles by António Afonso

António Afonso

University of Lisbon - ISEG (School of Economics and Management); UECE (Research Unit on Complexity and Economics); ISEG Lisbon School of Economics and Management,Universidade de Lisboa; REM - Research in Economics and Mathematics

José Alves

Technical University of Lisbon (UTL) - Department of Economics; UECE - Research Unit on Complexity in Economics

Krzysztof Beck

Lazarski University

Karen Jackson

University of Westminster

Multiple version iconThere are 2 versions of this paper

Date Written: July 30, 2022

Abstract

We consider a new dataset that provides a description of the population of financial equity flows between developed countries from 2001 to 2018. We follow the standard practice of controlling for pull and push factors as well as gravity-style variables, while also accounting for the business cycle, public debt and sovereign ratings. Our key findings are as follows: (i) equity flows are more intense between countries at the same stage of the business cycle (ii) increased equity flows to countries with a relatively lower public debt deficit as a ratio of GDP (iii) financial and macroeconomic variables are mportant for big equity flows, while institutional variables are important for the small flows. Overall, this new dataset provides novel evidence on the importance of the business cycle, government debt and sovereign ratings scores.

Keywords: Cross-country equity flows, stock market returns, panel data, quantile regression, business cycle

JEL Classification: C23, E44, F44, G15

Suggested Citation

Afonso, António and Alves, José and Alves, José and Beck, Krzysztof and Jackson, Karen, Financial, Institutional and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows (July 30, 2022). REM Working Paper 0235-2022, Available at SSRN: https://ssrn.com/abstract=4176970 or http://dx.doi.org/10.2139/ssrn.4176970

António Afonso (Contact Author)

University of Lisbon - ISEG (School of Economics and Management) ( email )

R. Miguel Lupi, 20
Lisbon, 1248-078
Portugal
+351 21 392 5985 (Phone)
+351 21 396 6407 (Fax)

HOME PAGE: http://www.iseg.ulisboa.pt/aquila/homepage/aafonso/research

UECE (Research Unit on Complexity and Economics)

Rua Miguel Lupi 20
Lisbon, 1249-078
Portugal
+351-213 925 912 (Phone)
+351-213 971 196 (Fax)

HOME PAGE: http://uece.rc.iseg.ulisboa.pt/

ISEG Lisbon School of Economics and Management,Universidade de Lisboa ( email )

Rua do Quelhas 6
LISBOA, 1200-781
Portugal

REM - Research in Economics and Mathematics ( email )

ISEG, Universidade de Lisboa
Rua Miguel Lupi, 20
Lisboa, 1249-078
Portugal

HOME PAGE: http://rem.rc.iseg.ulisboa.pt/

José Alves

UECE - Research Unit on Complexity in Economics ( email )

ISEG/UTL, Rua Miguel Lupi 20
Lisboa, 1249-078
Portugal

Technical University of Lisbon (UTL) - Department of Economics ( email )

R. Miguel Lupi, 20
Lisbon, 1248-078
Portugal

Krzysztof Beck

Lazarski University ( email )

Świeradowska 43 Warszawa
Warsaw, 02-662
Poland

Karen Jackson

University of Westminster ( email )

35 Marylebone Road
London NW1 5LS
United Kingdom

HOME PAGE: http://karen-jackson.com

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