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Emerging stock market exuberance and international short-term flows

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  • Wang, Xichen
  • Yan, Ji (Karena)
  • Yan, Cheng
  • Gozgor, Giray

Abstract

We investigate bubble-like dynamics in 22 Emerging Market Economies (EMEs). We identify the existence of synchronized stock markets' exuberance across EMEs before the 2000s Global Financial Crisis (GFC). We also investigate whether international short-term capital flows help to predict such episodes of exuberance. We find that all three types of short-term flows are significant, but international equity flows prove the most robust predictor. International capital flows (especially equity flows) partially explain the synchronization of exuberance detected and thus demand close attention when monitoring bubble-like dynamics.

Suggested Citation

  • Wang, Xichen & Yan, Ji (Karena) & Yan, Cheng & Gozgor, Giray, 2021. "Emerging stock market exuberance and international short-term flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    • Handle: RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001323
    DOI: 10.1016/j.intfin.2021.101417
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    More about this item

    Keywords

    Global financial crisis; Stock bubbles; Capital flows; Emerging markets;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • G1 - Financial Economics - - General Financial Markets

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