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Co-movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe

Yıl 2014, Cilt: 4 Sayı: 3, 457 - 464, 01.09.2014

Öz

This paper empirically examines short- and long-run relationships between foreign direct investments (FDI) and volatility of foreign portfolio investments (FPI) in 12 Central and Eastern European (CEE) countries. We use the Generalized Autoregressive Conditional Heteroskedasticity models to calculate volatility of the FPIs. We utilize the second generation panel unit root test, panel-Wald causality test procedure and panel cointegration analysis allowing for structural breaks, and cross-sectional dependence. The results strongly suggest that a decrease in FPI volatility is followed by an increase in FDI in the long-run, and this indicates economies that advance in capital liberalization benefit from increases in FDI. However, the relationship in opposite direction in the long-run is valid in only half of the countries studied. In short-run, we observe that the former relationship is valid only in Turkey, the Czech Republic, and Lithuania; where the latter is valid only in Latvia.

Yıl 2014, Cilt: 4 Sayı: 3, 457 - 464, 01.09.2014

Öz

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Ayrıntılar

Diğer ID JA43NM65RT
Bölüm Araştırma Makalesi
Yazarlar

Yaman O. Erzurumlu Bu kişi benim

Giray Gozgor Bu kişi benim

Yayımlanma Tarihi 1 Eylül 2014
Yayımlandığı Sayı Yıl 2014 Cilt: 4 Sayı: 3

Kaynak Göster

APA Erzurumlu, Y. O., & Gozgor, G. (2014). Co-movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe. International Journal of Economics and Financial Issues, 4(3), 457-464.
AMA Erzurumlu YO, Gozgor G. Co-movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe. IJEFI. Eylül 2014;4(3):457-464.
Chicago Erzurumlu, Yaman O., ve Giray Gozgor. “Co-Movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe”. International Journal of Economics and Financial Issues 4, sy. 3 (Eylül 2014): 457-64.
EndNote Erzurumlu YO, Gozgor G (01 Eylül 2014) Co-movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe. International Journal of Economics and Financial Issues 4 3 457–464.
IEEE Y. O. Erzurumlu ve G. Gozgor, “Co-movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe”, IJEFI, c. 4, sy. 3, ss. 457–464, 2014.
ISNAD Erzurumlu, Yaman O. - Gozgor, Giray. “Co-Movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe”. International Journal of Economics and Financial Issues 4/3 (Eylül 2014), 457-464.
JAMA Erzurumlu YO, Gozgor G. Co-movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe. IJEFI. 2014;4:457–464.
MLA Erzurumlu, Yaman O. ve Giray Gozgor. “Co-Movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe”. International Journal of Economics and Financial Issues, c. 4, sy. 3, 2014, ss. 457-64.
Vancouver Erzurumlu YO, Gozgor G. Co-movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe. IJEFI. 2014;4(3):457-64.