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Cross-border portfolio flows and news media coverage

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  • Caporale, Guglielmo Maria
  • Menla Ali, Faek
  • Spagnolo, Fabio
  • Spagnolo, Nicola

Abstract

This paper investigates the dynamic linkages between portfolio flows and various news media indices (based on both “positive” and “negative” news headlines collected from Bloomberg), whilst also controlling for a comprehensive set of push and pull factors. The monthly panel examined comprises 49 developed, emerging and developing economies in addition to the US and covers the period from January 2007 to October 2017. The empirical results document the importance of the news variables as a determinant of cross-border portfolio flows. More specifically, US (worldwide) news appear to play a leading role in driving bond inflows into (outflows from) the US. By contrast, the impact of news on equity inflows towards the US is relatively weak, whilst equity outflows from the US are affected by both US and worldwide news. These results are shown to be relatively robust to dropping from the full sample the six financial centres considered.

Suggested Citation

  • Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "Cross-border portfolio flows and news media coverage," Journal of International Money and Finance, Elsevier, vol. 126(C).
    • Handle: RePEc:eee:jimfin:v:126:y:2022:i:c:s0261560622000419
    DOI: 10.1016/j.jimonfin.2022.102638
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    More about this item

    Keywords

    Bloomberg; Bond flows; Equity flows; News;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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