Regime Switching, Asymmetric Correlation and International Portfolio Choices

2010 ◽  
Author(s):  
Fathi Abid ◽  
Slah Bahloul
Keyword(s):  
Regime Switching ◽  
Portfolio Choices ◽  
International Portfolio ◽  
Asymmetric Correlation

A Comparative Analysis on International Portfolio Flows to Asian Stock Markets With a Nonlinear Perspective

2018 ◽  
pp. 108-128
Author(s):  
Ayben Koy
Keyword(s):  
Stock Markets ◽  
Regime Switching ◽  
Vector Autoregressive ◽  
Portfolio Flows ◽  
Positive Effects ◽  
Long Run ◽  
International Portfolio ◽  
Nonlinear Relation ◽  
Market Regimes ◽  
The Relationship

After the Asian financial crisis was solved by International Monetary Fund in late 1997, the recovery in Asian economies begun by 1999. Most of the countries affected by the crisis needed to change their exchange rate policies. This chapter brings insight on how the international portfolio flows to Asian stock markets are affected from the shocks on EUR/USD parity. The weekly observations between 01/01/2010 to 21/04/2017 belong to India, Indonesia, Philippine, South Korea, Thailand, Malaysia, and Vietnam. Use of Markov regime switching vector autoregressive models presents the relationship according to the different regimes of the markets in the study. The results indicate that (1) the international portfolio flows through Asian stock markets are governed by a long run, nonlinear relation; (2) the shocks on EUR/USD parity have positive effects on the countries' portfolio flows except Malaysia; and (3) the responses to the shocks vary according to the market regimes or according to the countries.

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