Cross-border porfolio flows and news media coverage

Caporale, Guglielmo Maria, Menla Ali, Faek, Spagnolo, Fabio and Spagnolo, Nicola (2022) Cross-border porfolio flows and news media coverage. Journal of International Money and Finance, 126. a102638 1-28. ISSN 0261-5606

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Abstract

This 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.

Item Type: Article
Schools and Departments: University of Sussex Business School > Accounting and Finance
SWORD Depositor: Mx Elements Account
Depositing User: Mx Elements Account
Date Deposited: 22 Mar 2022 07:51
Last Modified: 16 May 2022 11:30
URI: http://sro.sussex.ac.uk/id/eprint/104976

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