Abstract
We apply a factor model to estimate the spillover effects of global fund flows across international equity and bond markets. We document robust evidence of global and regional spillovers of equity and bond flows in the transmission of external shocks, especially to emerging markets (EMs) during episodes of financial crises and capital stops. Macroprudential policies are effective in alleviating global and regional spillovers to EMs. However, we find no similar evidence for capital controls. Foreign and passive investors mitigate global and regional spillovers, but not sustainable investors whose scale may be too small to have any major impact. We observe bilateral spillovers between equity and bond markets within the same economy; however, their magnitudes are not comparable to those of global or regional spillovers. © 2025 Published by Elsevier B.V.
| Original language | English |
|---|---|
| Article number | 102209 |
| Number of pages | 20 |
| Journal | Journal of International Financial Markets, Institutions and Money |
| Volume | 104 |
| Online published | 11 Sept 2025 |
| DOIs | |
| Publication status | Published - Oct 2025 |
| Externally published | Yes |
Funding
Yang Zhang acknowledges fundings from Research Services and Knowledge Transfer Office (MYRG-GRG2022-00021-FBA) and Asia-Pacific Academy of Economics and Management (APAEM/SG/0009/2024) at University of Macau (UM).
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 10 Reduced Inequalities
Research Keywords
- Capital controls
- Cross-asset spillovers
- International capital flows
- Macroprudential policy
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