Financial, Institutional, and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows

Antonio Afonso, José Alves, Krzysztof Beck and Karen Jackson

No 9872, CESifo Working Paper Series from CESifo

Abstract: We consider a new dataset that provides a description of the population of financial equity flows between developed countries from 2001 to 2018. We follow the standard practice of controlling for pull and push factors as well as gravity-style variables, while also accounting for the business cycle, public debt and sovereign ratings. Our key findings are as follows: (i) equity flows are more intense between countries at the same stage of the business cycle (ii) increased equity flows to countries with a relatively lower public debt deficit as a ratio of GDP (iii) financial and macroeconomic variables are important for big equity flows, while institutional variables are important for the small flows. Overall, this new dataset provides novel evidence on the importance of the business cycle, government debt and sovereign ratings scores.

Keywords: cross-country equity flows; stock market returns; panel data; quantile regression; business cycle (search for similar items in EconPapers)
JEL-codes: C23 E44 F44 G15 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-opm
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Working Paper: Financial, Institutional and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_9872

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