Suchergebnisse

During the financial crisis which affected Russia in 2008, it became obvious that the role of the portfolio capital flow is much broader than the traditional division into portfolio and direct investments presupposes. In the article, the quantitative evaluation of the capital inflow/outflow from Russia, as well as of its growth rates and the sectoral structure of its recovery, is presented. To solve the problem, the multiplicative analysis is used as the most sensory and suitable in the context of economic instability. The author investigates the crisis situation development in the Russian economy over the last two years, and estimates trends in the portfolio investments sphere.

The general objective of this study is to discern & examine the role of macroeconomic government policies as well as the economic & financial attributes of host emerging market countries in shaping the destination of portfolio investments. The study identifies key "location advantages" that must exist in order to "pull" portfolio investment. Further, it highlights public policy recommendations for attracting portfolio capital as a source of capital for developing countries. This study finds a direct positive correlation between portfolio capital inflows & improvement in macroeconomic performance in the host economies. Countries in the emerging markets that were able to generate fast economic growth engage in extensive privatization programs, & adopted a public policy posture based on opening their economics to international trade & capital inflows were more likely to attract foreign portfolio equity investments than those developing countries that did not undertake significant market-friendly macroeconomic stabilization & fiscal consolidation programs. Adapted from the source document.

Abstract This study analyzed the effect of foreign portfolio capital flows on stock returns of Brazilian listed firms through a 6-factors APT model, in which an additional risk factor for foreign portfolio capital flows was included. First, an aggregate analysis was conducted. The partial effect of foreign portfolio capital flows on the IBOVESPA index's returns was statistically significant and positive. Next, a disaggregate analysis was also implemented, in which portfolios of stocks were sorted by sector of economic activity, level of risk and level of corporate governance. Foreign portfolio capitals caused increases in returns especially for sectors related to commodities, industry and cyclical consumption. For the portfolios sorted by risk (in which the stocks' betas were used as a risk parameter for sorting), foreign capitals increased the returns of mid-high and high beta portfolios, but decreased the returns of low and low-mid beta portfolios. For corporate governance portfolios, the firms listed on the Novo Mercado segment (according to BMF&Bovespa criteria) experienced a statistically significant revaluation effect. Overall, the results of the study provide support to the revaluation effect hypothesis.

This thesis aims to qualitatively and quantitatively analyse the sometimes destabilising impacts of global excess liquidity on emerging markets asset prices. This global excess liquidity has particularly manifested in a rise in portfolio capital flows towards emerging markets. The study of this rise has become a central topic both for policymakers and asset managers. As such, we propose to circumvent the Balance of Payments weaknesses by building a non-lagging and high frequency indicator of portfolio capital flows using the data provided by EPFR. The search for yield trend caused by the unconventional monetary policies undertaken by the main developed markets central banks has caused significant inflation in asset prices, most prominently in emerging equity markets, where potential bubbles have appeared during the so-called "New Normal" period. ; Cette thèse tente d'analyser qualitativement et quantitativement les impacts, parfois déstabilisateurs, de l'excès de liquidité mondiale sur les prix des actifs des marchés émergents. Cet excès de liquidité mondiale s'est notamment matérialisé par un essor des investissements de portefeuille vers les marchés émergents, essor dont l'étude est devenue un thème central que ce soit pour les décideurs politiques ou pour l'industrie de la gestion d'actifs. A ce titre, nous nous proposons de contourner les faiblesses des données de la Balance des Paiements en construisant un indicateur non-retardé et à haute fréquence des flux de portefeuille, et ce, grâce aux données EPFR. La dynamique de recherche de rendement induite par la mise en place de politiques monétaires non conventionnelles par les principales banques centrales des marchés développés a eu pour effet une forte inflation des prix des actifs, au premier rang desquels figurent les marchés d'actions émergents, marchés sur lesquels de potentielles bulles ont pu faire leur apparition dans la période qualifiée de « Nouvelle Normale ».