Cenedese, Gino and Mallucci, Enrico (2015) What moves international stock and bond markets? CFM discussion paper series (CFM-DP2015-14). Centre For Macroeconomics, London, UK.
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Abstract
We study the relation between international mutual fund flows and the different return components of aggregate equity and bond markets. First, we decompose international equity and bond market returns into changes in expectations of future real cash payments, interest rates, exchange rates, and discount rates. News about future cash flows, rather than discount rates, is the main driver of international stock returns. This evidence is in contrast with the typical results reported only for the US. Inflation news instead is the main driver of international bond returns. Next, we turn to the interaction between these return components and international portfolio flows. We find evidence consistent with price pressure, short-term trend chasing, and short-run overreaction in the equity market. We also find that international bond flows to emerging markets are more sensitive to interest rate shocks than equity flows
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://www.centreformacroeconomics.ac.uk/Home.aspx |
| Additional Information: | © 2015 The Authors |
| Divisions: | Centre for Macroeconomics |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | F - International Economics > F3 - International Finance > F31 - Foreign Exchange G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets |
| Date Deposited: | 14 Dec 2017 11:07 |
| Last Modified: | 15 Sep 2023 23:38 |
| URI: | http://eprints.lse.ac.uk/id/eprint/86296 |
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