The foreign capital flows and the behavior of stock prices at BM&FBovespa
The main purpose of this article is to investigate alternative explanations for the impact of foreign capital flows on Ibovespa returns, including: trend chasing, information contribution and mutual feedback. Daily data of the period between 2005 and 2012 are analyzed using simultaneous equation mod...
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| Veröffentlicht in: | BAR, Brazilian administration review Brazilian administration review, 2014-01, Vol.11 (1), p.86-106 |
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| creator | Sanvicente, Antonio Zoratto |
| description | The main purpose of this article is to investigate alternative explanations for the impact of foreign capital flows on Ibovespa returns, including: trend chasing, information contribution and mutual feedback. Daily data of the period between 2005 and 2012 are analyzed using simultaneous equation models which are estimated by ordinary least squares (OLS). Several exogenous market variables are included as determinants of returns and capital flows. The research results present that only the information contribution hypothesis is supported by the analysis. Besides, it also shows that the 2008 global financial crisis had no significant effect on the interaction of market returns with foreign capital flows. [PUBLICATION ABSTRACT] |
| doi_str_mv | 10.1590/S1807-76922014000100006 |
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| source | DOAJ Directory of Open Access Journals; Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals; EBSCOhost Business Source Complete |
| subjects | BM F Bovespa SA Capital debt management Capital flow Capital movement Econometric models Economic conditions Economic conditions forecasts Economic crisis Economic forecasts Economic research Experiment/theoretical treatment Feedback Financial crisis Foreign investment Foreign investments Hypothesis Impact analysis Influence Institutional investments International finance Latin America MANAGEMENT Market prices Options markets Options trading Price increases Prices and rates Securities markets Stock exchanges Stock market indexes Stock prices Stocks Studies Trends |
| title | The foreign capital flows and the behavior of stock prices at BM&FBovespa |
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