C. Yan
Hot Money in disaggregated capital flows
Yan, C.
Authors
Abstract
We explore the possible existence and behavior of hot money in six categories of disaggregated bilateral capital flows (equity inflows, equity outflows, bond inflows, bond outflows, banking credit inflows, and banking credit outflows) for 12 emerging markets vis-à-vis the US from 1995 to 2012 and provides several new findings. First, we identify the existence of hot money in all six categories above and conclude that both gross inflows and gross outflows can be the sources of hot money. Second, hot money in equity inflows (outflows) engages in positive (negative) feedback trading regarding local stock market returns. Third, some categories of hot money have a temporary influence on local stock market returns while the others have a permanent influence, supporting the explanations of both price pressures and information advantage. Finally, local stock market returns in half of our sample countries, which have tightened capital controls during the late 2000s global financial crisis (GFC), are more affected by hot money than in the other half. Our findings confirm several popular conjectures of hot money, and endorse the use of capital controls to limit financial vulnerability in the run-up to and during the GFC.
Citation
Yan, C. (2018). Hot Money in disaggregated capital flows. European Journal of Finance, 29(2), 242-261. https://doi.org/10.1080/1351847x.2017.1411821
Journal Article Type | Article |
---|---|
Acceptance Date | Nov 27, 2017 |
Online Publication Date | Dec 13, 2017 |
Publication Date | Apr 3, 2018 |
Deposit Date | Nov 27, 2017 |
Publicly Available Date | Mar 29, 2024 |
Journal | European Journal of Finance |
Print ISSN | 1351-847X |
Electronic ISSN | 1466-4364 |
Publisher | Taylor and Francis Group |
Peer Reviewed | Peer Reviewed |
Volume | 29 |
Issue | 2 |
Pages | 242-261 |
DOI | https://doi.org/10.1080/1351847x.2017.1411821 |
Public URL | https://durham-repository.worktribe.com/output/1343268 |
You might also like
A skeptical appraisal of the bootstrap approach in fund performance evaluation
(2018)
Journal Article
Modeling fundamental analysis into portfolio selection
(2018)
Journal Article
Does hot money in equity flows affect emerging stock markets?
(2017)
Journal Article
Evaluating the size of the bootstrap method for fund performance evaluation
(2017)
Journal Article
Mean-Variance versus Naïve Diversification: The Role of Mispricing
(2016)
Journal Article
Downloadable Citations
About Durham Research Online (DRO)
Administrator e-mail: dro.admin@durham.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search