Return, Volatility and Equity Fund Flows Linkages: Evidence from an Emerging Market

Sapian, Ros Zam Zam; Lee, Jing Quan

doi:10.6007/ijarbss/v8-i7/4333

Cited by 3 publications

(3 citation statements)

References 43 publications

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“…First, the relatively high economic growth of developing countries compared to developed countries has become a special attraction related to portfolio flows [22,32,33]. Second, high market returns in emerging countries, with very different characteristics from the capital and financial markets in developed countries, are associated with increased portfolio flows [10,15,26,[34][35][36][37][38][39]. Third, in the Country Risk indicator for portfolio flows, we find that a higher debt-to-GDP ratio leads to lower portfolio flows [25,40].…”

Section: Resultsmentioning

confidence: 99%

The Fed Interest Rate as the Dominant Factor of Portfolio Equity Flows

Marino,

Nugraha,

Waspada

2023

Advances in Economics, Business and Management Research

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The drivers of the equity portfolio flow to Emerging Market Countries (EMCs) are divided into factors, i.e., the global environment that supports EMCs investment and the attraction factors that are the domestic environment and EMCs attract those invest money. The main factor that has the greatest impact on the portfolio balance going to emerging countries is the Fed Funds rate, which is one of the most motivating factors. This research is based on descriptive analysis and literature review methods to explain why the Fed interest rate is so important. In conclusion, the Fed analyzes macroeconomic indicators to understand the current growth rate and potential in the future and adjust policies, one of which is interest rates. The Fed is an expert on economic information. Therefore the market will react to policy publications, and investors will make trading decisions based on those policies.

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Section: Resultsmentioning

confidence: 99%

The Fed Interest Rate as the Dominant Factor of Portfolio Equity Flows

Marino,

Nugraha,

Waspada

2023

Advances in Economics, Business and Management Research

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“…The pull factor is a factor from the domestic country that attracts portfolio flow to enter the country. First, internal economic growth is the relationship between domestic growth and portfolio investment flows which provide evidence for the role of growth in domestic output [19], [26], [30] Second, domestic market returns are associated with an increase in portfolio equity and bond inflows [15], [25], [31]- [36] Third, country risk indicators for portfolio flow show that a higher ratio of foreign debt to GDP tends to reduce portfolio equity flows [23], [37].…”

Section: Resultsmentioning

confidence: 99%

Drivers of Portfolio Equity Flows to Emerging Market Countries

Marino¹,

Nugraha²,

Waspada³

et al. 2021

Proceedings of the 5th Global Conference on Business, Management and Entrepreneurship (GCBME 2020)

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In recent decades, international diversification has increased the portfolio investment flows to Emerging Market Countries (EMCs). This paper examines why investors diversify in EMCs and what drivers of portfolio investment flow. This paper employed descriptive analysis with a literature review approach. The finding is that international investors are interested because EMCs offer higher returns than countries of origin, with less risk. Drivers of portfolio investment flow to EMCs are classified into push factors, namely global conditions that encourage investment EMCs and pull factors that are domestic conditions in EMCs that are attractive to investors. The main driver that has the most influence on the portfolio equity flows to developing countries is the Fed Funds rates, which are part of push factors.

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“…A critical issue in stock markets that also need special attention is volatility, in the presence of which the efficient allocation of funds and subsequently economic development might be hampered (Sapian et al, 2018;San Marino et al, 2021). In general, volatility can be defined as a radical variation in the price of a financial instrument (such as a stock) in a relatively small interval (Ejem & Ogbonna, 2020;Okpara, 2011).…”

Section: Introductionmentioning

confidence: 99%

Portfolio Diversification Across Islamic Vs. Conventional Banks: The Role of Macroeconomic Fundamentals in Stock Volatility

Khan¹,

Jan²

2022

j. Islam. bus. manag.

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Purpose: This study aims to investigate the effect of macroeconomic factors on the stock return volatility and volatility dynamics on comparative bases for Islamic vs. Conventional Banks. Methodology:The stock returns volatility of all the Pakistani listed banks from Islamic and Conventional sectors is considered for the period from Jan 1, 2010, to Dec 31, 2021. A time-series model GARCH(1,1) is applied for the relationship between stock returns volatility along with its various dynamics and economic fundamentals. Findings: All the macroeconomic factors prove their significance in finding the stock return volatility in both Islamic and Conventional banking systems. The market return shows a negative association with stock return volatility in both Islamic and Conventional Banks. For most of the Conventional and Islamic banks, the risk-free rate shows positive and negative effects, respectively. Finally, the exchange rate and oil prices show a negative impact on both Islamic and Conventional banks. The volatility shocks are quite persistent. Both the ARCH and GARCH effects play their role in generating conditional future stock return volatility. Moreover, the overall volatility process is mean-reverting; nonetheless, the speed of mean reversion varies across both sectors. Significance: To the best of the authors' knowledge, this is the first study of its kind that compares the Conventional and Islamic banks' stock volatility with regard to the economic fundamentals in Pakistan. Practical Implication: The results designate that there are significant dissimilarities (even carrying opposing or negative correlation) in both sectors; hence, the investors may diversify their investment and form their liquidity positions in both sectors to attain the maximum advantages from the market and bank's specific factors.

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Return, Volatility and Equity Fund Flows Linkages: Evidence from an Emerging Market

Cited by 3 publications

References 43 publications

The Fed Interest Rate as the Dominant Factor of Portfolio Equity Flows

The Fed Interest Rate as the Dominant Factor of Portfolio Equity Flows

Drivers of Portfolio Equity Flows to Emerging Market Countries

Portfolio Diversification Across Islamic Vs. Conventional Banks: The Role of Macroeconomic Fundamentals in Stock Volatility

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