Causal links between hot money and investment markets
Evidence from small-scale economy
Bibliographic Data
| ID | 15068438 |
|---|---|
| Authors | Chuc Anh Tu (0000-0003-2878-3230, Academy of Finance, Hanoi, Vietnam), Saqib Farid (0000-0002-7008-0785, Dr Hasan Murad School of Management, Universality of Management and Technology, Lahore, Pakistan), M A Naeem (0000-0001-6962-3175, United Arab Emirates University), Kinza Younas (Dr Hasan Murad School of Management, Universality of Management and Technology, Lahore, Pakistan), Farhad Taghizadeh-Hesary (0000-0001-5446-7093, Tokai University, corresponding author) |
| Year | 2023 |
| Volume | 36 |
| Issue | 2 |
| Publication date | 2023-07-10 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2022.2123021 |
| OpenAlex | W4296344274 |
| Language | EN |
| References cited | 48 |
Hot money is generally associated with economic and financial turmoil in emerging economies. In this backdrop, a number of studies document the causal links between hot money and financial markets. Accordingly, the study examines the causal relationship among hot money, equities, and real estate assets in the small-scale economy of Pakistan. For this purpose, we employ various time series techniques such as the JJ Co-integration test, Granger causality tests, Impulse Response Functions (IRF), and Variance Decomposition Analysis (VDC). The findings validate the long-term association between speculative funds and underlying investment markets. The results uncover unidirectional causality from investment markets to hot money in Pakistan. However, the lack of a bi-directional relationship among the underlying variables indicates that hot money is not a major driver of soaring prices in equities and real estate assets. Alternatively, developing the underlying markets attracts speculative cash inflows into the economy. The findings of the study highlight some useful implications for investors and regulators. For instance, the study's findings present valuable insights for international investors seeking diversification opportunities in small-scale economies such as Pakistan. Also, the regulators in the underlying economy can utilize the study findings to formulate an optimal model to manage international capital flows
Economics · Economies of scale · Microeconomics · Monetary economics · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Monetary Policy and Economic Impact
Capital Flows and Capital-Market Crises
Generalized impulse response analysis in linear multivariate models
Domestic Financial Policies under Fixed and under Floating Exchange Rates (Politiques finacierieures interieures avec un systeme de taux de change fixe et avec un systeme de taux de change fluctuant) (Politica financiera interna bajo sistemas de tipos de cambio fijos o de tipos de cambio fluctuantes)
Financial markets and the allocation of capital
Macroeconomics and Reality
Maximum Likelihood Estimation and Inference on Cointegration — With Applications to the Demand for Money
Investigating Causal Relations by Econometric Models and Cross-spectral Methods
Financial deepening in economic development
Hot money, accounting labels and the permanence of capital flows to developing countries
One decade of urban housing reform in China
Hot Money
Inflation and Real Interest
Statistical analysis of cointegration vectors
| Highly cited | No |
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