The foreign capital flows and the behavior of stock prices at BM&FBovespa

Detalhes bibliográficos
Autor(a) principal: Sanvicente,Antonio Zoratto
Data de Publicação: 2014
Tipo de documento: Artigo
Idioma: eng
Título da fonte: BAR - Brazilian Administration Review
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922014000100006
Resumo: 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.
id ANPAD-1_c3159ddf22f394c07962fe13336fda14
oai_identifier_str oai:scielo:S1807-76922014000100006
network_acronym_str ANPAD-1
network_name_str BAR - Brazilian Administration Review
repository_id_str
spelling The foreign capital flows and the behavior of stock prices at BM&FBovespaforeign investmentstock price impacteconometric modelsBM & FBovespa2008 global financial crisisThe 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.ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração2014-03-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922014000100006BAR - Brazilian Administration Review v.11 n.1 2014reponame:BAR - Brazilian Administration Reviewinstname:Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)instacron:ANPAD10.1590/S1807-76922014000100006info:eu-repo/semantics/openAccessSanvicente,Antonio Zorattoeng2016-07-22T00:00:00Zoai:scielo:S1807-76922014000100006Revistahttp://www.scielo.br/scielo.php?script=sci_serial&pid=1807-7692&lng=pt&nrm=isohttps://old.scielo.br/oai/scielo-oai.php||bar@anpad.org.br1807-76921807-7692opendoar:2016-07-22T00:00BAR - Brazilian Administration Review - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)false
dc.title.none.fl_str_mv The foreign capital flows and the behavior of stock prices at BM&FBovespa
title The foreign capital flows and the behavior of stock prices at BM&FBovespa
spellingShingle The foreign capital flows and the behavior of stock prices at BM&FBovespa
Sanvicente,Antonio Zoratto
foreign investment
stock price impact
econometric models
BM & FBovespa
2008 global financial crisis
title_short The foreign capital flows and the behavior of stock prices at BM&FBovespa
title_full The foreign capital flows and the behavior of stock prices at BM&FBovespa
title_fullStr The foreign capital flows and the behavior of stock prices at BM&FBovespa
title_full_unstemmed The foreign capital flows and the behavior of stock prices at BM&FBovespa
title_sort The foreign capital flows and the behavior of stock prices at BM&FBovespa
author Sanvicente,Antonio Zoratto
author_facet Sanvicente,Antonio Zoratto
author_role author
dc.contributor.author.fl_str_mv Sanvicente,Antonio Zoratto
dc.subject.por.fl_str_mv foreign investment
stock price impact
econometric models
BM & FBovespa
2008 global financial crisis
topic foreign investment
stock price impact
econometric models
BM & FBovespa
2008 global financial crisis
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.
publishDate 2014
dc.date.none.fl_str_mv 2014-03-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922014000100006
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922014000100006
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S1807-76922014000100006
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração
publisher.none.fl_str_mv ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração
dc.source.none.fl_str_mv BAR - Brazilian Administration Review v.11 n.1 2014
reponame:BAR - Brazilian Administration Review
instname:Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
instacron:ANPAD
instname_str Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
instacron_str ANPAD
institution ANPAD
reponame_str BAR - Brazilian Administration Review
collection BAR - Brazilian Administration Review
repository.name.fl_str_mv BAR - Brazilian Administration Review - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
repository.mail.fl_str_mv ||bar@anpad.org.br
_version_ 1754209123714465792

Registros relacionados