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Cross-border porfolio flows and news media coverage
Version 2 2023-06-12, 07:44
Version 1 2023-06-10, 02:56
journal contribution
posted on 2023-06-12, 07:44 authored by Guglielmo Maria Caporale, Faek Menla AliFaek Menla Ali, Fabio Spagnolo, Nicola SpagnoloThis paper investigates the dynamic linkages between portfolio flows and various news media indices (based on both “positive” and “negative” news headlines collected from Bloomberg), whilst also controlling for a comprehensive set of push and pull factors. The monthly panel examined comprises 49 developed, emerging and developing economies in addition to the US and covers the period from January 2007 to October 2017. The empirical results document the importance of the news variables as a determinant of cross-border portfolio flows. More specifically, US (worldwide) news appear to play a leading role in driving bond inflows into (outflows from) the US. By contrast, the impact of news on equity inflows towards the US is relatively weak, whilst equity outflows from the US are affected by both US and worldwide news. These results are shown to be relatively robust to dropping from the full sample the six financial centres considered.
History
Publication status
- Published
File Version
- Published version
Journal
Journal of International Money and FinanceISSN
0261-5606Publisher
ElsevierExternal DOI
Volume
126Page range
1-28Article number
a102638Department affiliated with
- Accounting and Finance Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2022-03-22First Open Access (FOA) Date
2022-05-16First Compliant Deposit (FCD) Date
2022-03-22Usage metrics
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