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Sovereign Wealth Funds’ cross-border investments: assessing the role of country-level drivers and spatial competition

Nicolas Debarsy (), Jean-Yves Gnabo () and Malik Kerkour ()
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Jean-Yves Gnabo: CeReFiM - Center for Research in Finance and Management [UNamur] - UNamur - Université de Namur [Namur]
Malik Kerkour: Laboratoire d'Economie d'Orléans - LEO - Laboratoire d'Économie d'Orleans - CNRS - Centre National de la Recherche Scientifique - Université de Tours - UO - Université d'Orléans, CeReFiM - Center for Research in Finance and Management [UNamur] - UNamur - Université de Namur [Namur]

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Abstract: The aim of this paper is to identify the driving forces of Sovereign wealth funds' investments. For this, we develop an original econometric framework that quantifies the role of spatial dependence in the location of investments, and uses the Inverse Hyperbolic Sine transformation of the dependent variable in a spatial panel model context. This transformation copes with two features of net flows, namely an highly skewed distribution and the presence of zero and negative values. Using a large-scale database, we provide evidence of negative spatial dependence, investments in one country being on average at the expense of its neighbors.

Keywords: Sovereign Wealth Funds; Pull Factors; Spatial Econometrics; Inverse Hyperbolic Sine Transformation; Interactions; C18; C21; C23; G15; G32; G38; F21 Sovereign Wealth Funds (search for similar items in EconPapers)
Date: 2017-06-05
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01251243v3
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Published in Journal of International Money and Finance, Elsevier, 2017, 76, pp.68-87. ⟨10.1016/j.jimonfin.2017.05.007⟩

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Related works:
Journal Article: Sovereign wealth funds’ cross-border investments: Assessing the role of country-level drivers and spatial competition (2017) Downloads
Working Paper: Sovereign Wealth Funds’ cross-border investments: assessing the role of country-level drivers and spatial competition (2016) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01251243

DOI: 10.1016/j.jimonfin.2017.05.007

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