文章基本信息

标题：The Foreign Capital Flows and the Behavior of Stock Prices at BM&FBovespa
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作者：Antonio Zoratto Sanvicente
期刊名称：BAR - Brazilian Administration Review
印刷版ISSN：1807-7692
电子版ISSN：1807-7692
出版年度：2014
卷号：11
期号：1
页码：86-106
语种：English
出版社：Associação Nacional de Pós-Graduação e Pesquisa em Administração
其他摘要：The main purpose of this article is to investigate alternative explanations for the impact of foreign capital flows on Ibovespa returns, including: trend chasing, information contribution and mutual feedback. Daily data of the period between 2005 and 2012 are analyzed using simultaneous equation models which are estimated by ordinary least squares (OLS). S everal exogenous market variables are included as determinants of returns and capital flows. The research results present that only the information contribution hypothesis is supported by the analysis. Besides, it also shows that the 2008 global financial crisis had no significant effect on the interaction of market returns with foreign capital flows.
关键词：foreign investment; stock price impact; econometric models; BM&FBovespa; 2008 global financial crisis