Global uncertainties and portfolio flow dynamics of the BRICS countries

Oguzhan Cepni, Selcuk Gul, Yavuz Selim Hacıhasanoğlu and Muhammed Hasan Yılmaz

Research in International Business and Finance, 2020, vol. 54, issue C

Abstract: This paper investigates the dynamics of bond and stock market capital flows to BRICS countries under uncertainties such as global economic policy uncertainty and the US trade policy uncertainty. We use a time-varying Granger causality framework over the January 2008-November 2019 period to analyze the predictive power of uncertainties on capital flows in the form of bond and equity. The results show that the effects are heterogeneous across countries and stronger during the Global Financial Crisis period and post-2018 period while it lost its significance in the subsequent period. The negative influence of uncertainties on capital flows directed to BRICS countries is also evident in the results of non-parametric time-varying panel models. Overall, it is thought that the heterogeneous structure of the causality between uncertainty and portfolio flows into BRICS may present portfolio diversification benefits for global investors.

Keywords: Economic policy uncertainty; The US trade policy uncertainty; Time-varying causality; Time-varying coefficients panel data models (search for similar items in EconPapers)
JEL-codes: C32 C33 E32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301501

DOI: 10.1016/j.ribaf.2020.101277

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