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Cyclical behavior of international fund flows

Suxiao Li, Jakob de Haan () and Bert Scholtens ()

Research in International Business and Finance, 2018, vol. 43, issue C, 99-112

Abstract: We investigate the cyclicality of international fund flows employing correlation and regression analysis using monthly data for almost 70 countries between 1996 and 2013. International fund flows are cross-border investments by global funds. Our results suggest that contemporaneously international fund flows are counter-cyclical: fund flows are above trend when output is below trend. Bond flows are more counter-cyclical than equity flows. Furthermore, the counter-cyclical behavior of fund flows has become more pronounced after the global financial crisis. Fund flows into non-OECD countries are mainly driven by global factors while fund flows into OECD countries are more influenced by country-specific factors.

Keywords: International fund flows; Cyclicality; Equity flows; Bond flows; Push and pull factors (search for similar items in EconPapers)
JEL-codes: E32 F30 F32 G15 G23 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:riibaf:v:43:y:2018:i:c:p:99-112