Cross-border portfolio flows and news media coverage

Guglielmo Maria Caporale; Faek Menla Ali; Fabio Spagnolo; Nicola Spagnolo

doi:10.1016/j.jimonfin.2022.102638

Cross-border portfolio flows and news media coverage

Guglielmo Maria Caporale^*, Faek Menla Ali, Fabio Spagnolo, Nicola Spagnolo

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

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.

Original language	English
Article number	102638
Journal	Journal of International Money and Finance
Volume	126
DOIs	https://doi.org/10.1016/j.jimonfin.2022.102638
Publication status	Published - Sept 2022

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Cross-border portfolio flows and news media coverage

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