Foreign Portfolio Investment Inflows to the United States: The Impact of Investor Risk Aversion and U.S. Stock Market Performance
Year: 2010
Type: article
Abstract: This paper examines the relationship of net foreign portfolio investment inflows, namely corporate bonds and stocks, to two pull factors; investor risk aversion and the US stock market. Using a vector autoregressive model, we find that positive shocks to the stock market elicit an insignificant response to the net corporate bond inflow and a significant short term positive response to the net corporate stock inflow. The net corporate stock inflow does not respond to risk aversion, while bond inflows do exhibit a significant midterm response to an increase in risk aversion. Consistent with previous empirical findings, the results show that internal country-specific factors may influence foreign portfolio inflows.
Authors: Peter V. Egly, David W. Johnk, Daniel P. Liston
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2187953560