Causal links between hot money and investment markets: evidence from small-scale economy

References

• Adil, F., Fiaz, A., & Ahmad, N. (2021). Hot money cools on pakistan amid COVID-19: Evidence from nonlinear ARDL. Working paper # 92, Sustainable Development Policy Institute.
   Google Scholar
• Branson, W. H. (1968). Financial capital flows in the US balance of payments (Vol. 56). North-Holland Publishing.
   Google Scholar
• Calvo, G. A. (1998). Capital flows and capital-market crises: The simple economics of sudden stops. Journal of Applied Economics, 1(1), 35–54. https://doi.org/10.1080/15140326.1998.12040516
   Google Scholar
• Chari, V. V., & Kehoe, P. J. (2003). Hot money. Journal of Political Economy, 111(6), 1262–1292. https://doi.org/10.1086/378525
   Web of Science ®Google Scholar
• Chen, J., Guo, F., & Wu, Y. (2011). One decade of urban housing reform in China: Urban housing price dynamics and the role of migration and urbanization, 1995–2005. Habitat International, 35(1), 1–8. https://doi.org/10.1016/j.habitatint.2010.02.003
   Web of Science ®Google Scholar
• Chiang, M.-C., & Tsai, I. (2020). Importance of proper monetary liquidity: Sustainable development of the housing and stock markets. Sustainability, 12(21), 8989. https://doi.org/10.3390/su12218989
   Web of Science ®Google Scholar
• Dekker, A., Sen, K., & Young, M. R. (2001). Equity market linkages in the Asia Pacific region: A comparison of the orthogonalised and generalized VAR approaches. Global Finance Journal, 12(1), 1–33. https://doi.org/10.1016/S1044-0283(01)00025-4
   Google Scholar
• Domowitz, I., Glen, J., & Madhavan, A. (1997). Market segmentation and stock prices: Evidence from an emerging market. Journal of Finance, 52(3), 1059–1085. https://doi.org/10.1111/j.1540-6261.1997.tb02725.x
   Google Scholar
• Ferreira, M. A., & Matos, P. (2008). The colors of investors’ money: The role of institutional investors around the world. Journal of Financial Economics, 88(3), 499–533. https://doi.org/10.1016/j.jfineco.2007.07.003
   Web of Science ®Google Scholar
• Filer, L. H. II, (2004). Large capital inflows to Korea: The traditional developing economy story? Journal of Asian Economics, 15(1), 99–110. https://doi.org/10.1016/j.asieco.2003.11.002
   Google Scholar
• Fleming, J. M. (1962). Domestic financial policies under fixed and under floating exchange rates. Staff Papers - International Monetary Fund, 9(3), 369–380. https://doi.org/10.2307/3866091
   Google Scholar
• Fuertes, A. M., Phylaktis, K., & Yan, C. (2016). Hot money in bank credit flows to emerging markets during the banking globalization era. Journal of International Money and Finance, 60, 29–52. https://doi.org/10.1016/j.jimonfin.2014.10.002
   Web of Science ®Google Scholar
• Gharghori, P., Lee, R., & Veeraraghavan, M. (2009). Anomalies and stock returns: Australian evidence. Accounting & Finance, 49(3), 555–576. https://doi.org/10.1111/j.1467-629X.2009.00298.x
   Web of Science ®Google Scholar
• Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 37(3), 424–438. https://doi.org/10.2307/1912791
   Web of Science ®Google Scholar
• Gujarati, D. N. (2013). Basic econometrics. McGraw Hills.
   Google Scholar
• Guo, F., & Huang, Y. (2010). Hot money and business cycle volatility: Evidence from China. China & World Economy, 18(6), 73–89. https://doi.org/10.1111/j.1749-124X.2010.01221.x
   Web of Science ®Google Scholar
• Habermeier, M. K. F., Kokenyne, A., & Baba, C. (2011). The effectiveness of capital controls and prudential policies in managing large inflows (No. 2011/014). International Monetary Fund. https://doi.org/10.5089/9781463902896.006
   Google Scholar
• Han Kim, E., & Singal, V. (2000). Stock market openings: Experience of emerging economies. The Journal of Business, 73(1), 25–66. https://doi.org/10.1086/209631
   Google Scholar
• Huang, Y. S. (2010). What causes speculative fund inflow to China? The Chinese Economy, 43(5), 50–61. https://doi.org/10.2753/CES1097-1475430504
   Google Scholar
• Jin, K. (2012). Industrial structure and capital flows. American Economic Review, 102(5), 2111–2146. https://doi.org/10.1257/aer.102.5.2111
   Web of Science ®Google Scholar
• Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254. https://doi.org/10.1016/0165-1889(88)90041-3
   Web of Science ®Google Scholar
• Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration—with appucations to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169–210. https://doi.org/10.1111/j.1468-0084.1990.mp52002003.x
   Web of Science ®Google Scholar
• Kaminsky, G. L. (1999). Currency and banking crises: The early warnings of distress. IMF Working Papers, 99/178. https://doi.org/10.5089/9781451858938.001
   Google Scholar
• Kaminsky, G. L., & Reinhart, C. M. (1998). Financial crises in Asia and Latin America: Then and now. The American Economic Review, 88(2), 444–448.
   Web of Science ®Google Scholar
• Kim, D., & Iwasawa, S. (2017). Hot money and cross-section of stock returns during the global financial crisis. International Review of Economics & Finance, 50, 8–22. https://doi.org/10.1016/j.iref.2017.03.022
   Web of Science ®Google Scholar
• Kim, W., & Wei, S. J. (2002). Foreign portfolio investors before and during a crisis. Journal of international economics, 56(1), 77–96.
   Web of Science ®Google Scholar
• Korinek, A. (2011). Hot money and serial financial crises. IMF Economic Review, 59(2), 306–339. https://doi.org/10.1057/imfer.2011.10
   Web of Science ®Google Scholar
• Law, S. H., Azman-Saini, W. N. W., & Tan, H. B. (2014). Economic globalization and financial development in East Asia: A panel cointegration and causality analysis. Emerging Markets Finance and Trade, 50(1), 210–225. https://doi.org/10.2753/REE1540-496X500112
   Web of Science ®Google Scholar
• Liang, Q., & Cao, H. (2007). Property prices and bank lending in China. Journal of Asian Economics, 18(1), 63–75. https://doi.org/10.1016/j.asieco.2006.12.013
   Google Scholar
• Lu, X., & Dong, Z. (2016). Dynamic correlations between real estate prices and international speculative capital flows: An empirical study based on DCC-MGARCH method. Procedia Computer Science, 91, 422–431. https://doi.org/10.1016/j.procs.2016.07.114
   Google Scholar
• Martin, M. F., & Morrison, W. M. (2008). China’s “hot money” problems. Congressional Research Service Reports. No. RS22921. Asian Development Bank.
   Google Scholar
• McCauley, R. N. (2010). Managing recent hot money inflows in Asia. Managing Capital Flows The Search for a Framework (pp. 129–159). ADBI and Edward Elgar Publishing.
   Google Scholar
• McKinnon, R. I. (2010). Money and capital in economic development. Brookings Institution Press.
   Google Scholar
• MacKinnon, J. G., Haug, A. A., & Michelis, L. (1999). Numerical distribution functions of likelihood ratio tests for cointegration. Journal of applied Econometrics, 14(5), 563–577.
   Web of Science ®Google Scholar
• Mundell, R. (1963). Inflation and real interest. Journal of Political Economy, 71(3), 280–283. https://doi.org/10.1086/258771
   Web of Science ®Google Scholar
• Neumann, R. M., Penl, R., & Tanku, A. (2009). Volatility of capital flows and financial liberalization: Do specific flows respond differently? International Review of Economics & Finance, 18(3), 488–501. https://doi.org/10.1016/j.iref.2008.04.005
   Web of Science ®Google Scholar
• Ni, Y. S., & Huang, P. Y. (2014). Are investors’ portfolios enhanced by incorporating CTA index funds? Applied Economics Letters, 21(1), 43–46. https://doi.org/10.1080/13504851.2013.837571
   Web of Science ®Google Scholar
• Ostry, J. D., Ghosh, A. R., Habermeier, K., Chamon, M., Qureshi, M. S., & Reinhardt, D. (2010). Capital inflows: The role of controls. Revista de Economia Institucional, 12(23), 135–164.
   Google Scholar
• Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17–29. https://doi.org/10.1016/S0165-1765(97)00214-0
   Web of Science ®Google Scholar
• Reinhardt, D., Ricci, L. A., & Tressel, T. (2013). International capital flows and development: Financial openness matters. Journal of International Economics, 91(2), 235–251. https://doi.org/10.1016/j.jinteco.2013.07.006
   Web of Science ®Google Scholar
• Sarno, L., & Taylor, M. P. (1999). Hot money, accounting labels and the permanence of capital flows to developing countries: An empirical investigation. Journal of Development Economics, 59(2), 337–364. https://doi.org/10.1016/S0304-3878(99)00016-4
   Web of Science ®Google Scholar
• Shaw, E. S. (1973). Financial deepening in economic development. Washington, DC: Brookings.
   Google Scholar
• Sims, C. A. (1980). Macroeconomics and reality. Econometrica: Journal of the Econometric Society, 48(1), 1–48. https://doi.org/10.2307/1912017
   Web of Science ®Google Scholar
• Sohinger, J., & Horvatin, D. (2006). International capital flows and financial marketsin transition economies: the case of Croatia. Working Paper Series No. 154067, Institute of European Studies, UC Berkeley.
   Google Scholar
• Su, C., Yin, X., Tao, R., Lobonţ, O.-R., & Moldovan, N.-C. (2018). Are there significant linkages between two series of housing prices, money supply and short-term international capital?–Evidence from China. Digital Signal Processing, 83, 148–156. https://doi.org/10.1016/j.dsp.2018.08.017
   Web of Science ®Google Scholar
• Tabak, B. M. (2003). The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case. Applied Financial Economics, 13(5), 369–378.
   Google Scholar
• Torres, A., & Vela, O. (2003). Trade integration and synchronization between the business cycles of Mexico and the United States. The North American Journal of Economics and Finance, 14(3), 319–342. https://doi.org/10.1016/S1062-9408(03)00025-1
   Google Scholar
• Tuaneh, G. L., & Essi, I. D. (2017). Simultaneous equation modeling and estimation of consumption and investment functions in Nigeria. International Journal of Economics and Business Management, 3(8), 53–71.
   Google Scholar
• Wei, Y., Yu, Q., Liu, J., & Cao, Y. (2018). Hot money and China’s stock market volatility: Further evidence using the GARCH–MIDAS model. Physica A: Statistical Mechanics and Its Applications, 492, 923–930. https://doi.org/10.1016/j.physa.2017.11.022
   Web of Science ®Google Scholar
• Wheaton, W., & Nechayev, G. (2008). The 1998-2005 housing “Bubble” and the current “Correction”: What’s different this time? Journal of Real Estate Research, 30(1), 1–26. https://doi.org/10.1080/10835547.2008.12091212
   Web of Science ®Google Scholar
• Wurgler, J. (2000). Financial markets and the allocation of capital. Journal of Financial Economics, 58(1-2), 187–214. https://doi.org/10.1016/S0304-405X(00)00070-2
   Web of Science ®Google Scholar
• Yongqiang, C., & Tien, S. (2004). Inflation hedging characteristics of the Chinese real estate market. Journal of Real Estate Portfolio Management, 10(2), 145–154. https://doi.org/10.1080/10835547.2004.12089697
   Google Scholar
• Yousaf, I., & Ali, S. (2020). Integration between real estate and stock markets: New evidence from Pakistan. International Journal of Housing Markets and Analysis, 13(5), 887–900. https://doi.org/10.1108/IJHMA-01-2020-0001
   Web of Science ®Google Scholar
• Zhang, G., & Fung, H.-G. (2006). On the imbalance between the real estate market and the stock markets in China. The Chinese Economy, 39(2), 26–39. https://doi.org/10.2753/CES1097-1475390203
   Google Scholar
• Zhang, Y. (2018). Impact of short-term international capital flows on interactivity of stock market and real estate market in Chinese first-tier cities: A viewpoint of “co-selling effect”. Journal of Financial Risk Management, 7(1), 1–11. https://doi.org/10.4236/jfrm.2018.71001
   Google Scholar
• Zhang, Y., Chen, F., Huang, J., & Shenoy, C. (2019). Hot money flows and production uncertainty: Evidence from China. Pacific-Basin Finance Journal, 57, 101070. https://doi.org/10.1016/j.pacfin.2018.09.006
   Web of Science ®Google Scholar
• Zhao, Y., de Haan, J., Scholtens, B., & Yang, H. (2013). The dynamics of hot money in China. In BOFIT and CityU HK Conference on Renminbi and the Global Economy, 23–24 May 2013, City University of Hong Kong.
   Google Scholar
• Zivot, E., & Wang, J. (2006). Vector autoregressive models for multivariate time series. Modeling Financial Time Series with S-PLUS® (pp. 385–429). Springer. https://doi.org/10.1007/978-0-387-32348-0_11.
   Google Scholar