Cross-border portfolio flows and news media coverage
Date
2022
Authors
Caporale, Guglielmo
Menla Ali, Faek
Spagnolo, Fabio
Spagnolo, Nicola
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Publisher
Pergamon Press
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.
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Keywords
Bloomberg, Bond flows, Equity flows, News
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Source
Journal of International Money and Finance
Type
Journal article
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Access Statement
Open Access
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Creative Commons Attribution licence
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