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

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 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.

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Main Author: Sanvicente,Antonio Zoratto
Format: Digital revista
Language:English
Published: ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração 2014
Online Access:http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922014000100006
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spelling oai:scielo:S1807-769220140001000062016-07-22The foreign capital flows and the behavior of stock prices at BM&FBovespaSanvicente,Antonio Zoratto foreign investment stock price impact econometric models BM & FBovespa 2008 global financial crisis 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.info:eu-repo/semantics/openAccessANPAD - Associação Nacional de Pós-Graduação e Pesquisa em AdministraçãoBAR - Brazilian Administration Review v.11 n.1 20142014-03-01info:eu-repo/semantics/articletext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922014000100006en10.1590/S1807-76922014000100006
institution SCIELO
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country Brasil
countrycode BR
component Revista
access En linea
databasecode rev-scielo-br
tag revista
region America del Sur
libraryname SciELO
language English
format Digital
author Sanvicente,Antonio Zoratto
spellingShingle Sanvicente,Antonio Zoratto
The foreign capital flows and the behavior of stock prices at BM&FBovespa
author_facet Sanvicente,Antonio Zoratto
author_sort Sanvicente,Antonio Zoratto
title The foreign capital flows and the behavior of stock prices at BM&FBovespa
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 foreign capital flows and the behavior of stock prices at bm&fbovespa
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.
publisher ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração
publishDate 2014
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922014000100006
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AT sanvicenteantoniozoratto foreigncapitalflowsandthebehaviorofstockpricesatbmfbovespa
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