Investasi Portofolio Asing dan Likuiditas Pasar Di Negara-Negara Berkembang
Keywords:
Foreign Portfolio Investment; Likuiditas Pasar; Volatilitas Modal; Stabilitas KeuanganAbstract
Volatile foreign portfolio investment (FPI) flows in developing economies pose a policy dilemma between the benefits of enhanced market liquidity and the risk of financial instability arising from sudden stops. This study investigates the net effects of FPI inflows, outflows, and their volatility on stock and bond market liquidity, while also examining the moderating roles of institutional quality, market depth, and capital flow policies. Employing a quantitative dynamic panel data framework, the analysis covers 25 developing countries over the period 2005–2023. The empirical strategy combines the System Generalized Method of Moments (GMM-System), Panel Vector Autoregression (PVAR), and quantile regression to capture short-run dynamics and cross-country heterogeneity. The results indicate that FPI inflows significantly enhance market liquidity, whereas FPI outflows and heightened volatility deteriorate liquidity conditions, particularly in countries with weaker institutional frameworks. Dynamic analysis reveals short-term bidirectional interactions between FPI and liquidity, while stronger institutional governance mitigates the adverse liquidity effects of capital outflows. These findings contribute to the literature on international capital flows and market microstructure by highlighting the conditional nature of FPI–liquidity linkages in developing economies. The study also offers relevant policy insights for regulators seeking to design macroprudential frameworks that balance financial openness with domestic financial system resilience.
References
Aggarwal, R., Klapper, L., & Wysocki, P. (2003). Portfolio preferences of foreign institutional investors. Journal of Banking & Finance, 27(5), 957–974. https://doi.org/10.1016/S0378-4266(02)00281-6
Arellano, M., & Bover, O. (1995). Another look at the instrumental variable estimation of error-components models. Journal of Econometrics, 68(1), 29–51. https://doi.org/10.1016/0304-4076(94)01642-D
Aslanoğlu, E., & Deniz, P. (2016). Decomposing the determinants of interest rates in Turkey. Applied Economics Letters, 23(6), 437–440. https://doi.org/10.1080/13504851.2015.1076133
Baltagi, B. H. (2005). Econometric Analysis of Panel Data (3rd ed.). John Wiley & Sons. https://doi.org/10.1002/9781118672327
Bhattacharyya, I., & Khan, M. A. (2018). Global financial crisis, foreign portfolio investment and stock market volatility in India. Journal of Economic Studies, 45(4), 762–778. https://doi.org/10.1108/JES-03-2017-0075
Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87(1), 115–143. https://doi.org/10.1016/S0304-4076(98)00009-8
Croissant, Y., & Millo, G. (2008). Panel data econometrics in R: The plm package. Journal of Statistical Software, 27(2), 1–43. https://doi.org/10.32614/CRAN.package.plm
Derbali, A., & Lamouchi, M. (2020). Global financial crisis, foreign portfolio investment and emerging markets: Evidence from Southeast Asia. Journal of Risk and Financial Management, 13(12), 317. https://doi.org/10.3390/jrfm13120317
Ding, X., & Sui, L. (2021). The complexity of global capital flows: Evidence from G20 countries. Discrete Dynamics in Nature and Society, 2021, Article ID 1162155. https://doi.org/10.1155/2021/1162155
Emara, N., & El Said, A. (2015). Revisiting sovereign ratings, capital flows and financial contagion in emerging markets. Development Economics: Regional & Country Studies eJournal. https://doi.org/10.22440/econworld.j.2015.1.2.ne.0013
Gallas, D. (2021). Capital flows response to US quantitative easing and global financial stress. Economic Modelling, 94, 693–707. https://doi.org/10.1016/j.econmod.2020.02.002
Gooptu, S. (1993). Portfolio investment flows to emerging markets. World Bank Policy Research Working Paper No. 1110. https://doi.org/10.1596/1813-9450-1110
Kalyanaraman, L. (2024). Domestic market determinants of foreign portfolio flows to Saudi Arabia: Evidence from ARDL approach. International Journal of Emerging Markets, 19(2), 478–500. https://doi.org/10.26677/tr1010.2024.1412
Koenker, R. (2004). Quantile regression for longitudinal data. Journal of Multivariate Analysis, 91(1), 74–89. https://doi.org/10.1016/j.jmva.2004.05.006
Koçak, M. A., & Tüzemen, B. (2022). The impact of the COVID-19 on foreign direct investment inflows: Evidence from emerging markets. Economies, 10(1), 11. https://doi.org/10.3390/economies10010011
Kose, M. A., Prasad, E. S., Rogoff, K., & Wei, S. J. (2009). Financial globalization: A reappraisal. IMF Staff Papers, 56(1), 8–62. https://doi.org/10.1057/imfsp.2008.36
Love, I., & Zicchino, L. (2006). Financial development and dynamic investment behavior: Evidence from panel VAR. The Quarterly Review of Economics and Finance, 46(2), 190–210. https://doi.org/10.1016/j.qref.2005.11.007
Makoni, P., & Marozva, G. (2021). The nexus between bond liquidity, stock liquidity and foreign portfolio investment. International Journal of Finance & Banking Studies, 10(3), 70–89. https://doi.org/10.20525/ijfbs.v10i3.1348
Nxumalo, I. S., & Makoni, P. (2021). Determinants of foreign capital inflows in emerging markets: The role of institutional quality. Journal of Accounting and Finance in Emerging Economies, 7(3), 459–474. https://doi.org/10.26710/jafee.v7i3.1881
Pavabutr, P., & Yan, H. (2007). The impact of foreign portfolio flows on emerging market volatility: Evidence from Thailand. Australian Journal of Management, 32(2), 345–368. https://doi.org/10.1177/031289620703200209
Rafi, M., & Ramachandran, M. (2018). Capital flows and exchange rate volatility: Experience of emerging economies. Indian Economic Review, 53(2), 183–205. https://doi.org/10.1007/s41775-018-0031-1
Schnorrenberger, R., & Meurer, R. (2018). Determinants of foreign portfolio and total investment to emerging economies from 2007 to 2014. Brazilian Review of Finance, 15(4), 605–640. https://doi.org/10.12660/RBFIN.V15N4.2017.63437
Tsaurai, K. (2017). Is foreign portfolio equity investment inspired growth hypothesis relevant in emerging markets? EuroEconomica, 36(2), 78–90. https://hdl.handle.net/11159/1748
Zehri, C. (2022). The time-varying effects of policies: Evidence from capital flow management in emerging economies. Economic Modelling, 112, 105833. https://doi.org/10.1016/j.econmod.2022.105833
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2026 Jurnal Ilmiah Ilmu Sosial dan Pendidikan Universitas Nahdlatul Ulama Sulawesi Tenggara
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
