Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2022.2123021
Causal links between hot money and investment markets: evidence from small-scale economy
Chuc Anh Tu
Saqib Farid
Muhammad Abubakr Naeem
Kinza Younas
Farhad Taghizadeh-Hesary
Sažetak
Hot money is generally associated with economic and financial turmoil
in emerging economies. In this backdrop, a number of studies
document the causal links between hot money and financial markets.
Accordingly, the study examines the causal relationship among
hot money, equities, and real estate assets in the small-scale economy
of Pakistan. For this purpose, we employ various time series
techniques such as the JJ Co-integration test, Granger causality tests,
Impulse Response Functions (IRF), and Variance Decomposition
Analysis (VDC). The findings validate the long-term association
between speculative funds and underlying investment markets. The
results uncover unidirectional causality from investment markets to
hot money in Pakistan. However, the lack of a bi-directional relationship
among the underlying variables indicates that hot money is not
a major driver of soaring prices in equities and real estate assets.
Alternatively, developing the underlying markets attracts speculative
cash inflows into the economy. The findings of the study highlight
some useful implications for investors and regulators. For instance,
the study’s findings present valuable insights for international investors
seeking diversification opportunities in small-scale economies
such as Pakistan. Also, the regulators in the underlying economy can
utilize the study findings to formulate an optimal model to manage
international capital flows.
Ključne riječi
Hot money; stock market; real estate sector; causal relationship
Hrčak ID:
306662
URI
Datum izdavanja:
30.4.2023.
Posjeta: 212 *