Determinants of capital inflows into Asia: The relevance of contagion effects as push factors

Brana, Sophie; Lahet, Delphine

doi:10.1016/j.ememar.2010.03.003

Cited by 40 publications

(24 citation statements)

References 22 publications

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“…Kim (2000) investigates the causes of capital flows in four developing countries; Mexico, Chile, Korea and Malaysia, using structural decomposition analysis and finds that the resurgence in capital movements is largely due to external factors such as decreases in the world interest rate or recession in industrial countries, whereas domestic factors including country specific productivity shocks and demand shocks are relatively less important. Brana and Lahet (2008) et al, (2010) in their study reveal that pull factors are imperative in explaining the capital flows into Malaysia. Therefore, budget balance and current account balance appear to be the most influential variables that affect inflows of capital into Malaysia.…”

Section: Determinants Of Capital Inflows -Empirical Evidencementioning

confidence: 99%

Determinants of Capital Inflows: Evidence from Sri Lanka

Liyanage¹

2016

Staff Studies

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Section: Determinants Of Capital Inflows -Empirical Evidencementioning

confidence: 99%

Determinants of Capital Inflows: Evidence from Sri Lanka

Liyanage¹

2016

Staff Studies

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“…When any financial turmoil occurred in United States, like the U.S. subprime crisis, any Asian country with a low exposure to U.S. subprime mortgages still absorbed contagious effects, attributable to the deepening financial integration. In that case, Brana and Lahet (2010) discovered that credit spreads in Asia considerably increased even higher than those in United States and Europe. The spillover effects were transmitted via global and region-specific risk pricing factors because the Asian markets were heavily subject to herding asymmetry as an overreaction of investors to bad news (Kim, Loretan, and Remolona, 2010;Chiang and Zheng, 2010).…”

Section: Complement and Substitute Tests For The Us Portfolios: Intmentioning

confidence: 99%

The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test

Dewandaru

Masih

Bacha

et al. 2017

Emerging Markets Review

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This study investigates both conventional and Islamic investors' problems as to whether the inclusion of Islamic and conventional asset classes may expand the frontier of their respective portfolios. Our sample covers the global U.S. portfolios and Malaysian portfolios with multiple asset classes, as well as the portfolios with a specific asset class in several regions. This study uses the recent mean-variance spanning test in multiple regimes, which not only accounts for tail risk but also identifies the source of value added (tangency portfolio or global minimum variance).For intra-asset allocation, our findings show that both Islamic and conventional fund managers of a specific asset class can benefit from conventional and Islamic asset classes, respectively, in several regimes. For inter-asset allocation, conventional institutional investors cannot obtain any value added from Islamic asset classes. On the contrary, the U.S. Islamic institutional investors can expand their tangency portfolio by investing in U.S. TIPSs and REITs, and reduce their global minimum variance by allocating on U.S. high-yield bonds. Moreover, the Malaysian Islamic institutional investors can obtain risk reduction by investing in conventional bonds only in the high term premium regime. For the remaining asset classes, the opportunity sets are sufficient for Islamic investors to invest complying with Shariah rules. We provide some policy implications for the global Islamic financial industry.

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“…Fratzscher (2011) finds that the changes of global liquidity significantly changed the international capital flow in 2007-2008. Brana (2011) argue that the international investor sentiment is "Pure" infection (Pure Contagion), and verify the infectious factors are the important factors that affect Asia international capital inflows. Zhang (2014) finds the global risk and U.S. economic growth are the most important pushing factors of international capital flows for emerging market countries, domestic economic growth rate is one of the most important pull factors; For developed economies, U.S. economic growth rate is one of the most important pushing factor, exchange rates is one of the most important pulling factors.…”

Section: Related Literaturementioning

confidence: 99%

“…The basic panel VAR model takes the following form (1) In equation (1), and the country index is a m×1 vector of data for country i, are coefficient matrices. The vector consists of country-specific intercepts.…”

Section: A Panel Var Modelmentioning

confidence: 99%

The Determinants of International Capital Flows: Evidence from Emerging Market Economies

Tian¹

2017

dtssehs

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Abstract. The withdrawal of international capital flows from emerging countries induces comprehensive concern about emerging market economies growth. This paper estimate a panel VAR to research the determinant factor of international capital flows based on 26 emerging market economies. The results suggest that vxo index and domestic economy growth have a significant effect on international capital flows, they account for about 16% of international capital flows, but the interest rate difference between domestic and U.S. market and U.S. economy growth have a week effect. And the present international capital flows could strongly affect the next period. The empirical results are significant for managing emerging countries' international capital flows.

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Determinants of capital inflows into Asia: The relevance of contagion effects as push factors

Cited by 40 publications

References 22 publications

Determinants of Capital Inflows: Evidence from Sri Lanka

Determinants of Capital Inflows: Evidence from Sri Lanka

The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test

The Determinants of International Capital Flows: Evidence from Emerging Market Economies

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