How to cite this paper
APA: Kondo, T., Mutsvangwa, S., Chari, F & Bafan, S. (2024). Foreign portfolio investment, returns, exchange rate and inflation for Zimbabwe: A Granger Causality and EGARCH approach. Accounting, 10(4), 193-206.
Chicago/Turabian: Kondo, T., Mutsvangwa, S., Chari, F & Bafan, S. 2024. "Foreign portfolio investment, returns, exchange rate and inflation for Zimbabwe: A Granger Causality and EGARCH approach." Accounting 10, no. 4 (2024): 193-206.
AMA: Kondo, T., Mutsvangwa, S., Chari, F & Bafan, S. Foreign portfolio investment, returns, exchange rate and inflation for Zimbabwe: A Granger Causality and EGARCH approach. Accounting. 2024;10(4):193-206.
References
Adebisi, A. W. & Arikpo, O. F. (2015). Financial market performance and foreign portfolio inflows to Nigeria: Autoregressive lag approach. The International Journal of Research, 5(60), 673-688.
Adebisi, A. W., & Arikpo, O. F. (2017). Financial market performance and foreign portfolio inflows to Nigeria: Autoregressive distributive lag approach. International Journal for Research-Granthaalayah, 5(6), 673-688.
African Arguments (2019) Bulls Rampage on Zimbabwe Stock Exchange. African Data Revolution, 2019 Series
Akinmulegun, S. O. (2018). Capital market development and foreign portfolio investment inflow in Nigeria (1985-2016). Advances in Economics and Business 6(5), 299-307.
Albuquerque, R., Bauer, G.H., & Schneider, M. (2007). International equity flows and returns: a quantitative equilibrium approach. The Review of Economic Studies, 74(1), 1-30.
Asteriou, D., & Hall, S.G (2007). Applied Econometrics: A modern approach. New York; Palgrave Macmillan.
Baltagi, B. H. (2007). Worldwide econometrics rankings: 1989–2005. Econometric Theory, 23(5), 952-1012.
Bhowmik, R., and Wang, S. (2020) Stock Market Volatility and Return Analysis: A Systematic Literature Review. Entropy, 22. 522.
Bollerslev, T. (1986). Generalised Autoregressive Conditional Heteroskedasticity. Journal of Economics, 31, 307-327
Brooks, C. (2007) Introductory Econometrics for Finance, 2nd Ed. New York; Cambridge University Press
Cagli, E.C. (2018) The Causality Between Consumer Confidence Index and Stock Returns: Evidence from Recursive Evolving Granger Causality Test. Journal of Yasar University, Vol. 14(Special Issue) pp. 164-172
Caporale, G.M., Ali, F.M., Spagnolo, F., & Spagnolo, N. (2017). International Portfolio Flows and Exchange Rate Volatility in Emerging Asian Markets. Journal of International Money and Finance, 76, 1-15
Chaudhary, R., Bakhshi, P., & Gupta, H. (2020). Volatility in International Stock Markets: An Empirical Study During COVID-19. Journal of Risk and Financial Management, 13(208), 1-17
Chihava, A.P., (2014) The impact of foreign portfolio flows on the performance of the
Zimbabwe Stock Exchange (2009–2013). Undergraduate Project, Dept. of Banking and
Finance, Midlands State University
De Long, J.B., Shleifer, A., Summers, L.H., & Waldmann, R.J. (1990). Noise trader risk in
financial markets. Journal of political Economy, 98(4), 703-738
Diebold, F.X., (2017) Forecasting. Department of Economics, University of Pennsylvania
Enders, W. (2015). Applied Econometric Time Series. 4th Edition. Alabama, Wiley Publishing
Engle, R.F., & Granger, C.W (1987). Co-integration and error correction: Representation,
Estimation, and Testing. Econometrica Journal of the Econometric Society, 55(2), 251- 276.
Ferreira, R. M., & Pereira, P. J. (2021). A dynamic model for venture capitalists’ entry–exit investment decisions. European Journal of Operational Research, 290(2), 779-789.
Goh, Y.M. and Sapian, R.Z.Z., (2017) Return, volatility and fund flows linkages: Malaysian
evidence. Management & Marketing Journal, 15(2), 59-69.
Greene, W.H. (2008). Econometric Analysis. 5th Edition. New Jersey, Prentice Hall.
Greene, W.H., (2018). Econometric Analysis, 8th Edition. New York, Pearson.
Gujarati, D. N. (2004). Basic econometrics-Gujarati. pdf. Basic Econometrics, 394-398.
Gumus, G.K., Duru, A., & Gungor, B. (2013) The Relationship Between Foreign Portfolio Investment and Macroeconomic Variables. European Scientific Journal, 9(34), 209-226.
Haider, M.A., Khan, M. A. Saddique, S., & Hashmi, S. H. (2017). The impact of stock market performance on foreign portfolio investment in China. International Journal of Economics and Financial Issues, 7(2), 460-468
Huong, T.T.X., Nguyen, M.T., and Lien, N.T.K., (2021) Exchange Rate Volatility and FDI Response During the Financial Crisis: Empirical Evidence from Vietnam. Journal of Asian Finance, Economics and Business, 8(3), 119-126
Hussein, A. A. (2017). Effect of inflation rate on stock market returns in Uganda security exchange.
IMF, (2021) World Economic Outlook: Managing Divergent Recoveries. International Monetary Fund Publications.
Jebran, K. and Iqbal, A. (2016) Dynamics of Volatility Spillover Between Stock Market and Foreign Exchange Market: Evidence from Asian Countries. Financial Innovation, Vo. (2016), 2:3
Kanyongo, T., & Gumbo, V. (2015). An Empirical Study of the Relationship between Money
Market Interest Rates and Stock Market Performance: Evidence from Zimbabwe (2009-
2013). International Journal of Economics and Financial Issues, 5(3), 638-646
Kerl, A.G. and Walter, A., (2007). Effects of information, price-pressure, and company characteristics. Review of Finance, 11(1), pp. 117-141
Koskei, L. (2017). The Effect of foreign portfolio equity sales on stock returns in Kenya:
Evidence from NSE Listed Financial Institutions. International Journal of Economics and Finance, 9(4), 185.
Kumar, V (2018). Dynamics of Private Capital Flows to India: A Structural VAR Approach. The Journal of Developing Areas, 52(4), 129-149.
Litterman, R.B., (1986) Forecasting with Bayesian Vector Auto-regressions five years of
experience. Journal of Business & Economic Statistics, 4(1), 25-38.
Mahonye, N. (2014). Capital markets development, financial structure and economic development in Africa (Doctoral dissertation).
Mahonye, N., & Mandishara, L. (2014). Stock market returns and hyperinflation in Zimbabwe. Investment management and financial innovations, (11, Iss. 4 (contin.)), 223-232.
Makoni, P.L. (2020). Foreign Portfolio Investments, Exchange Rates and Capital Openness: A Panel Data Approach. International Journal of Economics & Business Administration (IJEBA), 8(2), 100-113
Mamvura, K., Sibanda, M., and Rajaram, R. (2020) Causal Dynamics among Foreign Portfolio Investment Volatility, Financial Deepening and Capital Markets in Low Income Countries. Journal of Economics and Business, Vol. 70(1-2), pp.20-38
Maqsood, A., Safdar, S., Shafi, R., & Lelit, N.J., (2017) Modeling stock market volatility using GARCH models: A case study of Nairobi Securities Exchange (NSE). Open Journal of Statistics, 7(2), 369-381.
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91
Marovanidze, S., 2010. The impact of horticulture production on economic growth: A case of Zimbabwe (1980-2005). Undergraduate Project, Dept. of Economics, Midlands State University
Mercado Jr, R.V., & Park, C.Y. (2017). What drives different types of capital flows and their volatilities in developing Asia? International Economic Journal, 25(4), 655-680 Meurer, R. (2016). Portfolio investment flows, GDP, and investment in Brazil. International Journal of Economics and Finance, 8(12), 1-9.
Meurer, R. (2016). Portfolio Investment Flows, GDP, and Investment in Brazil. International Journal of Economics and Finance, 8(12), 1-9.
Mpofu, T. R. (2016). The determinants of exchange rate volatility in South Africa. Economic Research Southern Africa, Working Paper, 604, 1-39.
Mroua, M., & Trabelsi, L. (2020). Causality and dynamic relationships between exchange rate and stock market indices in BRICS countries: Panel/GMM and ARDL analyses. Journal of Economics, Finance and Administrative Science, 25(50), 395-412.
Nelson, D.B. (1991) Conditional Heteroskedasticity in Asset Returns: A New Approach. Journal of Economics, 59(2), 347-370
Nwosa, P.I., & Adeleke, O., (2017). Determinants of FDI and FPI volatility: An E-GARCH approach. CBN Journal of applied statistics, 8(2), 47-67.
Ogundipe, A.A., Alabi, J., Asaleye, A.J. and Ogundipe, O.M. (2019) Exchange Rate Volatility and Foreign Portfolio Investment in Nigeria. Investment Management and Financial Innovations, Vol. 16(3), pp. 241-250
Oh, N.Y., & Parwada, J.T (2007). Relations between mutual fund flows and stock market returns in Korea. Journal of International Financial Markets, Institutions and Money, 17(2), 140-151.
Okorie, I. E., Nadarajah, S., Ohakwe, J., & Onyemachi, C. U. (2021). Tail risk analysis, evolving efficiency and relative predictability of the African stock markets. Communications in Statistics: Case Studies, Data Analysis and Applications, 7(1), 15-35.
Omorokunwa, O.G. (2018). Stock Market Performance and Foreign Capital Flow. Amity Education
Osemene, O.F., & Arotiba, K., (2018) Exchange Rate Volatility and Foreign Portfolio Investment in Nigeria. Global Journal of Management and Business Research, 18(2)
Ramlall, I., (2017) The Behaviour of Foreign Investments in the Stock Exchange of Mauritius.
In Economics and Finance in Mauritius ( 97-134). Palgrave Macmillan, Cham.
Reserve Bank of Zimbabwe (2018). Annual Economic Review. Reserve Bank of Zimbabwe Publications
Reserve Bank of Zimbabwe (2019). Quarterly Economic Review: June 2019. Reserve Bank of Zimbabwe Publications.
Reserve Bank of Zimbabwe (2020). Monthly Economic Review: August 2020. Reserve Bank of Zimbabwe Publications
Reserve Bank of Zimbabwe (2022). Monthly Economic Review: March 2022. Reserve Bank of Zimbabwe Publications
Rujiravanich, N., (2015). The foreign portfolio investment flows, stock prices and exchange rate before and after the global financial crisis: a comparative study between Korea and Thailand. Nida Repository
Sapian, R. Z. Z., & Auzairy, N. A. (2015). Foreign equity flows and market return linkages: Evidence of Malaysian stock market. Global Business Review, 16(5_suppl), 1S-14S.
Securities and Exchange Commission of Zimbabwe (2022) Grow Wealth April 2022 Report. Securities and Exchange Commission Publications
Shanthi, A., & Thamilselvan, R. (2019) Univariiate GARCH Models Applied to the Bombay Stock Exchange and National Stock Exchange Indices. International Journal of Management, 9, 22-33
Sims, C.A. (1980). Money, Income, and Causality. American Economic Review, 62, 540–552.
Singhal, S., Choudhary, S., & Biswal, P. C. (2019). Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico. Resources policy, 60, 255-261.
Staer, A. (2017). Fund flows and underlying returns: The case of ETFs. International Journal of Business, 22(4).
Sunde, T., & Sanderson, A., (2012). The determinants of share prices in Zimbabwe. The
Dyke, 2(2), 68-75.
Tuna, G., & Kundakçioğlu, S., (2016). Investigation of relation between foreign portfolio investments and stock prices: Time varying asymmetric causality analysis. Theoretical and Applied Economics, 22(2), 127-134.
Wang, L., Zhang, J., Zhang, Y., Yan, R., Liu, H., & Qiu, M. (2016) Conditional Granger Causality Analysis of Effective Connectivity During Motor Imagery and Motor Execution in Stroke Patients. BioDed Research International, 2016.
Warther, V.A., 1995. Aggregate mutual fund flows and security returns. Journal of financial
economics, 39(2-3), pp.209-235.
Zakoian, J.M. (1995) Threshold Heteroskedasticity Models. Journal of Economic Dynamics and Control, Vol. 18(1995), pp. 931-955
ZIMSTATS, (2020) National Macroeconomic Statistics, 2020. Zimbabwe National Statistics Agency.
Adebisi, A. W., & Arikpo, O. F. (2017). Financial market performance and foreign portfolio inflows to Nigeria: Autoregressive distributive lag approach. International Journal for Research-Granthaalayah, 5(6), 673-688.
African Arguments (2019) Bulls Rampage on Zimbabwe Stock Exchange. African Data Revolution, 2019 Series
Akinmulegun, S. O. (2018). Capital market development and foreign portfolio investment inflow in Nigeria (1985-2016). Advances in Economics and Business 6(5), 299-307.
Albuquerque, R., Bauer, G.H., & Schneider, M. (2007). International equity flows and returns: a quantitative equilibrium approach. The Review of Economic Studies, 74(1), 1-30.
Asteriou, D., & Hall, S.G (2007). Applied Econometrics: A modern approach. New York; Palgrave Macmillan.
Baltagi, B. H. (2007). Worldwide econometrics rankings: 1989–2005. Econometric Theory, 23(5), 952-1012.
Bhowmik, R., and Wang, S. (2020) Stock Market Volatility and Return Analysis: A Systematic Literature Review. Entropy, 22. 522.
Bollerslev, T. (1986). Generalised Autoregressive Conditional Heteroskedasticity. Journal of Economics, 31, 307-327
Brooks, C. (2007) Introductory Econometrics for Finance, 2nd Ed. New York; Cambridge University Press
Cagli, E.C. (2018) The Causality Between Consumer Confidence Index and Stock Returns: Evidence from Recursive Evolving Granger Causality Test. Journal of Yasar University, Vol. 14(Special Issue) pp. 164-172
Caporale, G.M., Ali, F.M., Spagnolo, F., & Spagnolo, N. (2017). International Portfolio Flows and Exchange Rate Volatility in Emerging Asian Markets. Journal of International Money and Finance, 76, 1-15
Chaudhary, R., Bakhshi, P., & Gupta, H. (2020). Volatility in International Stock Markets: An Empirical Study During COVID-19. Journal of Risk and Financial Management, 13(208), 1-17
Chihava, A.P., (2014) The impact of foreign portfolio flows on the performance of the
Zimbabwe Stock Exchange (2009–2013). Undergraduate Project, Dept. of Banking and
Finance, Midlands State University
De Long, J.B., Shleifer, A., Summers, L.H., & Waldmann, R.J. (1990). Noise trader risk in
financial markets. Journal of political Economy, 98(4), 703-738
Diebold, F.X., (2017) Forecasting. Department of Economics, University of Pennsylvania
Enders, W. (2015). Applied Econometric Time Series. 4th Edition. Alabama, Wiley Publishing
Engle, R.F., & Granger, C.W (1987). Co-integration and error correction: Representation,
Estimation, and Testing. Econometrica Journal of the Econometric Society, 55(2), 251- 276.
Ferreira, R. M., & Pereira, P. J. (2021). A dynamic model for venture capitalists’ entry–exit investment decisions. European Journal of Operational Research, 290(2), 779-789.
Goh, Y.M. and Sapian, R.Z.Z., (2017) Return, volatility and fund flows linkages: Malaysian
evidence. Management & Marketing Journal, 15(2), 59-69.
Greene, W.H. (2008). Econometric Analysis. 5th Edition. New Jersey, Prentice Hall.
Greene, W.H., (2018). Econometric Analysis, 8th Edition. New York, Pearson.
Gujarati, D. N. (2004). Basic econometrics-Gujarati. pdf. Basic Econometrics, 394-398.
Gumus, G.K., Duru, A., & Gungor, B. (2013) The Relationship Between Foreign Portfolio Investment and Macroeconomic Variables. European Scientific Journal, 9(34), 209-226.
Haider, M.A., Khan, M. A. Saddique, S., & Hashmi, S. H. (2017). The impact of stock market performance on foreign portfolio investment in China. International Journal of Economics and Financial Issues, 7(2), 460-468
Huong, T.T.X., Nguyen, M.T., and Lien, N.T.K., (2021) Exchange Rate Volatility and FDI Response During the Financial Crisis: Empirical Evidence from Vietnam. Journal of Asian Finance, Economics and Business, 8(3), 119-126
Hussein, A. A. (2017). Effect of inflation rate on stock market returns in Uganda security exchange.
IMF, (2021) World Economic Outlook: Managing Divergent Recoveries. International Monetary Fund Publications.
Jebran, K. and Iqbal, A. (2016) Dynamics of Volatility Spillover Between Stock Market and Foreign Exchange Market: Evidence from Asian Countries. Financial Innovation, Vo. (2016), 2:3
Kanyongo, T., & Gumbo, V. (2015). An Empirical Study of the Relationship between Money
Market Interest Rates and Stock Market Performance: Evidence from Zimbabwe (2009-
2013). International Journal of Economics and Financial Issues, 5(3), 638-646
Kerl, A.G. and Walter, A., (2007). Effects of information, price-pressure, and company characteristics. Review of Finance, 11(1), pp. 117-141
Koskei, L. (2017). The Effect of foreign portfolio equity sales on stock returns in Kenya:
Evidence from NSE Listed Financial Institutions. International Journal of Economics and Finance, 9(4), 185.
Kumar, V (2018). Dynamics of Private Capital Flows to India: A Structural VAR Approach. The Journal of Developing Areas, 52(4), 129-149.
Litterman, R.B., (1986) Forecasting with Bayesian Vector Auto-regressions five years of
experience. Journal of Business & Economic Statistics, 4(1), 25-38.
Mahonye, N. (2014). Capital markets development, financial structure and economic development in Africa (Doctoral dissertation).
Mahonye, N., & Mandishara, L. (2014). Stock market returns and hyperinflation in Zimbabwe. Investment management and financial innovations, (11, Iss. 4 (contin.)), 223-232.
Makoni, P.L. (2020). Foreign Portfolio Investments, Exchange Rates and Capital Openness: A Panel Data Approach. International Journal of Economics & Business Administration (IJEBA), 8(2), 100-113
Mamvura, K., Sibanda, M., and Rajaram, R. (2020) Causal Dynamics among Foreign Portfolio Investment Volatility, Financial Deepening and Capital Markets in Low Income Countries. Journal of Economics and Business, Vol. 70(1-2), pp.20-38
Maqsood, A., Safdar, S., Shafi, R., & Lelit, N.J., (2017) Modeling stock market volatility using GARCH models: A case study of Nairobi Securities Exchange (NSE). Open Journal of Statistics, 7(2), 369-381.
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91
Marovanidze, S., 2010. The impact of horticulture production on economic growth: A case of Zimbabwe (1980-2005). Undergraduate Project, Dept. of Economics, Midlands State University
Mercado Jr, R.V., & Park, C.Y. (2017). What drives different types of capital flows and their volatilities in developing Asia? International Economic Journal, 25(4), 655-680 Meurer, R. (2016). Portfolio investment flows, GDP, and investment in Brazil. International Journal of Economics and Finance, 8(12), 1-9.
Meurer, R. (2016). Portfolio Investment Flows, GDP, and Investment in Brazil. International Journal of Economics and Finance, 8(12), 1-9.
Mpofu, T. R. (2016). The determinants of exchange rate volatility in South Africa. Economic Research Southern Africa, Working Paper, 604, 1-39.
Mroua, M., & Trabelsi, L. (2020). Causality and dynamic relationships between exchange rate and stock market indices in BRICS countries: Panel/GMM and ARDL analyses. Journal of Economics, Finance and Administrative Science, 25(50), 395-412.
Nelson, D.B. (1991) Conditional Heteroskedasticity in Asset Returns: A New Approach. Journal of Economics, 59(2), 347-370
Nwosa, P.I., & Adeleke, O., (2017). Determinants of FDI and FPI volatility: An E-GARCH approach. CBN Journal of applied statistics, 8(2), 47-67.
Ogundipe, A.A., Alabi, J., Asaleye, A.J. and Ogundipe, O.M. (2019) Exchange Rate Volatility and Foreign Portfolio Investment in Nigeria. Investment Management and Financial Innovations, Vol. 16(3), pp. 241-250
Oh, N.Y., & Parwada, J.T (2007). Relations between mutual fund flows and stock market returns in Korea. Journal of International Financial Markets, Institutions and Money, 17(2), 140-151.
Okorie, I. E., Nadarajah, S., Ohakwe, J., & Onyemachi, C. U. (2021). Tail risk analysis, evolving efficiency and relative predictability of the African stock markets. Communications in Statistics: Case Studies, Data Analysis and Applications, 7(1), 15-35.
Omorokunwa, O.G. (2018). Stock Market Performance and Foreign Capital Flow. Amity Education
Osemene, O.F., & Arotiba, K., (2018) Exchange Rate Volatility and Foreign Portfolio Investment in Nigeria. Global Journal of Management and Business Research, 18(2)
Ramlall, I., (2017) The Behaviour of Foreign Investments in the Stock Exchange of Mauritius.
In Economics and Finance in Mauritius ( 97-134). Palgrave Macmillan, Cham.
Reserve Bank of Zimbabwe (2018). Annual Economic Review. Reserve Bank of Zimbabwe Publications
Reserve Bank of Zimbabwe (2019). Quarterly Economic Review: June 2019. Reserve Bank of Zimbabwe Publications.
Reserve Bank of Zimbabwe (2020). Monthly Economic Review: August 2020. Reserve Bank of Zimbabwe Publications
Reserve Bank of Zimbabwe (2022). Monthly Economic Review: March 2022. Reserve Bank of Zimbabwe Publications
Rujiravanich, N., (2015). The foreign portfolio investment flows, stock prices and exchange rate before and after the global financial crisis: a comparative study between Korea and Thailand. Nida Repository
Sapian, R. Z. Z., & Auzairy, N. A. (2015). Foreign equity flows and market return linkages: Evidence of Malaysian stock market. Global Business Review, 16(5_suppl), 1S-14S.
Securities and Exchange Commission of Zimbabwe (2022) Grow Wealth April 2022 Report. Securities and Exchange Commission Publications
Shanthi, A., & Thamilselvan, R. (2019) Univariiate GARCH Models Applied to the Bombay Stock Exchange and National Stock Exchange Indices. International Journal of Management, 9, 22-33
Sims, C.A. (1980). Money, Income, and Causality. American Economic Review, 62, 540–552.
Singhal, S., Choudhary, S., & Biswal, P. C. (2019). Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico. Resources policy, 60, 255-261.
Staer, A. (2017). Fund flows and underlying returns: The case of ETFs. International Journal of Business, 22(4).
Sunde, T., & Sanderson, A., (2012). The determinants of share prices in Zimbabwe. The
Dyke, 2(2), 68-75.
Tuna, G., & Kundakçioğlu, S., (2016). Investigation of relation between foreign portfolio investments and stock prices: Time varying asymmetric causality analysis. Theoretical and Applied Economics, 22(2), 127-134.
Wang, L., Zhang, J., Zhang, Y., Yan, R., Liu, H., & Qiu, M. (2016) Conditional Granger Causality Analysis of Effective Connectivity During Motor Imagery and Motor Execution in Stroke Patients. BioDed Research International, 2016.
Warther, V.A., 1995. Aggregate mutual fund flows and security returns. Journal of financial
economics, 39(2-3), pp.209-235.
Zakoian, J.M. (1995) Threshold Heteroskedasticity Models. Journal of Economic Dynamics and Control, Vol. 18(1995), pp. 931-955
ZIMSTATS, (2020) National Macroeconomic Statistics, 2020. Zimbabwe National Statistics Agency.