Valuation effects of capital inflows: Evidence from emerging market economies |
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| Institution: | 1. Economic Division, Embassy of the Republic of Korea, Hanoi, Viet Nam;2. Department of International Business & Trade, Kyung Hee University, 26, Kyungheedae-ro, Dongdaemun-gu, Seoul, Republic of Korea;1. Department of Banking and Finance, Cheng Shiu University, Kaohsiung, Taiwan, ROC;2. Department of Finance, National Kaohsiung University of Science and Technology, Kaohsiung, Taiwan, ROC;3. Sales department, Paralink Networks, Inc., New Taipei City, Taiwan, ROC;1. Department of Management Sciences, COMSATS University Islamabad, Attock Campus, Pakistan;2. Rennes School of Business, Rennes City, Brittany, France;3. Schulich School of Business, York University, Toronto, Canada;4. Department of Economics, Pusan National University, Busan, Republic of Korea;1. Research Center of the Central China for Economic and Social Development, Nanchang University, 330031 Nanchang, PR China;2. School of Economics and Management, Nanchang University, 330031 Nanchang, PR China;3. Business School, Hunan University, 410082 Changsha, PR China;1. Department of Tourism and Hospitality, TransWorld University, No. 1221, Zhennan Rd., Douliu City, Yunlin County 640, Taiwan;2. Department of Economics, Soochow University, No. 56, Kueiyang Street, Section 1, Taipei 100, Taiwan |
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| Abstract: | This paper studies valuation changes of capital inflows in 19 emerging market economies (EMEs). In most of the EMEs, we find that there are significant valuation changes and a positive rate of return on external liabilities by foreigners. Furthermore, the nonlinear effects of exchange rate movements on valuation changes are investigated using panel smooth transition regression models. Empirical results show that the transition is centered at approximately ?22.3% of exchange rate change, which implies that when the exchange rate appreciates more than this level, foreign investment value gains increase considerably. |
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| Keywords: | Valuation changes Capital inflows Exchange rate movements Panel smooth transition regression F32 F34 |
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