Fund Flows, Stock Markets, and Economic Policy Uncertainty: From the Perspective a CIVET Nation

References

• Al-Thaqeb, S. A., and B. G. Algharabali. 2019. Economic policy uncertainty: A literature review. Journal of Economic Asymmetries 20:e00133. doi:10.1016/j.jeca.2019.e00133.
   Google Scholar
• Baker, S. R., N. Bloom, and S. J. Davis. 2016. Measuring economic policy uncertainty. Quarterly Journal of Economics 4 (4):1593–636. doi:10.1093/qje/qjw024.
   Google Scholar
• Baker, M., and J. Stein. 2004. Market liquidity as a sentiment indicator. Journal of Financial Markets 7 (3):271–99. doi:10.1016/j.finmar.2003.11.005.
   Web of Science ®Google Scholar
• Balcilar, M., R. Gupta, C. Lee, and G. Olasehinde-Williams. 2020. Insurance and economic policy uncertainty. Research in International Business and Finance 54:101253. doi:10.1016/j.ribaf.2020.101253.
   Web of Science ®Google Scholar
• Barajas, A., R. Steiner, and N. Salazar. 2000. The impact of liberalization and foreign investment in Colombia’s financial sector. Journal of Development Economics 63:157–96. doi:10.1016/S0304-3878(00)00104-8. 1
   Web of Science ®Google Scholar
• Bonaime, A., H. Gulen, and M. Ion. 2018. Does policy uncertainty affect mergers and acquisitions? Journal of Financial Economics 129 (3):531–58. doi:10.1016/j.jfineco.2018.05.007.
   Web of Science ®Google Scholar
• Caggiano, G., E. Castelnuovo, and J. Figueres. 2017. Economic policy uncertainty and unemployment in the United States: A nonlinear approach. Journal of Monetary Econ 67:78–92. doi:10.1016/j.jmoneco.2014.07.006.
   Google Scholar
• Canh, N. P., N. T. Binh, S. D. Thanh, and C. Schinckus. 2020. Determinants of foreign direct investment inflows: The role of economic policy uncertainty. International Economics 161:159–72. doi:10.1016/j.inteco.2019.11.012.
   Google Scholar
• Cerda, R., A. Silva, and J. T. Valente. 2016. Economic policy uncertainty indices for Chile. Working Paper.
   Google Scholar
• Chiang, T. C. 2019. Economic policy uncertainty, risk, and stock returns: Evidence from G7 stock markets. Finance Research Letters, Elsevier 29 (C):41–49. doi:10.1016/j.frl.2019.03.018.
   Google Scholar
• Clements, B., and H. Kamil. 2009. Are capital controls effective in the 21st century? The recent experience of Colombia. IMF Working Paper. February 2009.
   Google Scholar
• Demir, E., G. Gozgor, C. K. M. Lau, and S. A. Vigne. 2018. Does economic policy uncertainty predict the bitcoin returns? An empirical investigation. Finance Research Letters 26:145–49. doi:10.1016/j.frl.2018.01.005.
   Web of Science ®Google Scholar
• Dickey, D. A., and W. A. Fuller. 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74 (366a):427–31. doi:10.1080/01621459.1979.10482531.
   Google Scholar
• Drobetz, W., E. S. Ghoul, O. Guedhami, and M. Janzen. 2018. Policy uncertainty, investment, and the cost of capital. Journal of Financial Stability 39:28–45. doi:10.1016/j.jfs.2018.08.005.
   Web of Science ®Google Scholar
• Duong, H., J. H. Nguyen, M. Nguyen, and S. G. Rhee. 2020. Navigating through economic policy uncertainty: The role of corporate cash holdings. Journal of Corporate Finance 62:101607. doi:10.1016/j.jcorpfin.2020.101607.
   Web of Science ®Google Scholar
• French, J. J., and W. Li. 2012. A note on the dynamics of US institutional equity flows to Brazil. Review of Accounting and Finance 11 (3):298–315. doi:10.1108/14757701211252609.
   Google Scholar
• French, J. J., and W. Li. 2022. Economic policy uncertainty and fund flows to the United States. Finance Research Letters 45:102126. doi:10.1016/j.frl.2021.102126.
   Web of Science ®Google Scholar
• French, J. J., and A. Naka. 2013. Dynamic relationships among equity flows, equity returns, and dividends: Behavior of U.S. Investors in China and India. Global Finance Journal 24 (1):13–29. doi:10.1016/j.gfj.2013.03.005.
   Google Scholar
• Froot, K., and T. Ramadorai, 2001. The information content of international portfolio flows. NBER Working Paper No.W8472.
   Google Scholar
• Griffin, J., F. Nardari, and R. Stulz. 2004. Daily cross-border equity flows: Pushed or pulled? Review of Economics and Statistics 86 (3):641–57. doi:10.1162/0034653041811725.
   Web of Science ®Google Scholar
• Harris, L., and E. Gurel. 1986. Price and volume effects associated with change in the S&P 500 list: New evidence for the existence of price pressure. Journal of Finance 41 (4):815–29. doi:10.1111/j.1540-6261.1986.tb04550.x.
   Web of Science ®Google Scholar
• Informa Financial Intelligence. 2020a. EPFR data offering. Available via the Internet Accessed May 1, 2020. https://financialintelligence.informa.com/~/media/informa-shop-window/financial/files/pdfs/epfr_data_offering.pdf.
   Google Scholar
• Junior, W., and W. Junior. 2017. Sophistication and price impact of foreign investors in the Brazilian stock market. Emerging Markets Review 110:102–39. doi:10.1016/j.ememar.2017.09.006.
   Google Scholar
• Kadiyala, K. R., and S. Karlsson. 1997. Numerical methods for estimation and inference in bayesian VAR models. Journal of Applied Econometrics 12 (2):99–132. doi:10.1002/(SICI)1099-1255(199703)12:2<99:AID-JAE429>3.0.CO;2-A.
   Web of Science ®Google Scholar
• Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin. 1992. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics 54 (1–3):159–78. doi:10.1016/0304-4076(92)90104-Y.
   Web of Science ®Google Scholar
• Luo, Y., and C. Zhang. 2020. Economic policy uncertainty and stock price crash risk. Research in International Business and Finance 51:101112. doi:10.1016/j.ribaf.2019.101112.
   Web of Science ®Google Scholar
• Nilavongse, R., M. Rubaszek, and G. S. Uddin. 2020. Economic policy uncertainty shocks, economic activity, and exchange rate adjustments. Economics Letters 186:108765. doi:10.1016/j.econlet.2019.108765.
   Web of Science ®Google Scholar
• Pesaran, H. H., and Y. Shin. 1998. Generalized impulse response analysis in linear multivariate models. Economics Letters 58 (1):17–29. doi:10.1016/S0165-1765(97)00214-0.
   Web of Science ®Google Scholar
• Tsai, P.-J. 2009. International equity flows and country funds. Journal of International Financial Markets, Institutions and Money 19 (5):862–94. doi:10.1016/j.intfin.2009.07.003.
   Google Scholar
• Vo, X. 2017. Trading of foreign investors and stock returns in an emerging market- evidence from Vietnam. International Review of Financial Analysis 90:88–93. doi:10.1016/j.irfa.2017.05.007.
   Google Scholar
• Xu, Z. 2020. Economic policy uncertainty, cost of capital, and corporate innovation. Journal of Banking & Finance 111:105698. doi:10.1016/j.jbankfin.2019.105698.
   Web of Science ®Google Scholar
• Yen, K.-C., and H.-P. Cheng. 2021. Economic policy uncertainty and cryptocurrency volatility. Finance Research Letters 38:101428. doi:10.1016/j.frl.2020.101428.
   Web of Science ®Google Scholar