文章基本信息

标题：The nexus between bond liquidity, stock liquidity and foreign portfolio investment
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作者：Godfrey Marozva ; Patricia Lindelwa Makoni
期刊名称：International Journal of Finance & Banking Studies
印刷版ISSN：2147-4486
出版年度：2021
卷号：10
期号：3
页码：92-103
DOI：10.20525/ijfbs.v10i3.1348
语种：English
出版社：Society for the Study of Business & Finance
摘要：The purpose of this article was to assess the impact of financial market liquidity on international capital flows in emerging markets. Specifically, the research investigates the effect of bond market liquidity and stock market liquidity on foreign portfolio investments using data for five emerging African countries, being Egypt, Kenya, Mauritius, Nigeria and South Africa, for the period 2000 to 2020. The data was sourced from the Bloomberg and World Bank (WDI) databases. Panel data analysis (fixed effects model) was undertaken using three different liquidity measures: the effective spread; Amihud’s (2002) illiquidity measure; and market impact as measured by trading volume. Our findings revealed mixed results. It was found that stock market liquidity attracted foreign portfolio investments. Although bond market liquidity, as measured by the volume of trade, promoted foreign portfolio investment, it was different for the effective spread, as the higher the effective spread, the higher the inward FPI flows, and vice versa. Results on the effects of the bond effective spread on FPI show that as long as the bonds are above the investable grade, investors are not discouraged by the cost of trading. Our findings thus confirm that FPI inflows are predisposed on liquid and efficient host country financial markets. Further, the entrance of foreign investors in the host country’s domestic financial markets, leads to the enhancing of liquidity in the local market, thus increasing risk sharing between local and foreign investors.
关键词：liquidity;illiquidity;bond market liquidity;stock market liquidity;foreign portfolio investment;emerging markets