Does foreign portfolio investment moderate the impact of exchange rate volatility and investor sentiment on country index crash risk?
AbstractThis study evaluates the relationship investor sentiment, exchange rate volatility, net foreign portfolio investment and the country index crash risk. The moderating variable, net foreign portfolio investment, is introduced. While previous crash risk studies typically focus on individual fir...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2024-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2024.2305481 |
| _version_ | 1797338779199995904 |
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| author | Lisa Kustina Rachmat Sudarsono Nury Effendi |
| author_facet | Lisa Kustina Rachmat Sudarsono Nury Effendi |
| author_sort | Lisa Kustina |
| collection | DOAJ |
| description | AbstractThis study evaluates the relationship investor sentiment, exchange rate volatility, net foreign portfolio investment and the country index crash risk. The moderating variable, net foreign portfolio investment, is introduced. While previous crash risk studies typically focus on individual firms, this study takes a country-level perspective. CRASH, NCSKEW and DUVOL represent the Country Index Crash risk. The data will be analyzed using EViews software, including panel data from logistic regression and OLS regression using a two-dimensional clustered standard error method. The findings demonstrate the importance of exchange rate fluctuations and investor mood in affecting the country index crash risk. The influence of Net Foreign Portfolio Investment on the crash risk is negligible. Moreover, the study reveals that higher Net Foreign Portfolio Investment does not strengthen the impact of Investor Sentiment but weakens its influence in conjunction with Exchange Rate Volatility on the country index crash risk. |
| first_indexed | 2024-03-08T09:36:13Z |
| format | Article |
| id | doaj.art-d17e144b412b44f2942e475fd1528192 |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-03-08T09:36:13Z |
| publishDate | 2024-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-d17e144b412b44f2942e475fd15281922024-01-30T08:40:37ZengTaylor & Francis GroupCogent Economics & Finance2332-20392024-12-0112110.1080/23322039.2024.2305481Does foreign portfolio investment moderate the impact of exchange rate volatility and investor sentiment on country index crash risk?Lisa Kustina0Rachmat Sudarsono1Nury Effendi2Management Science, Faculty of Economics and Business, Universitas Padjadjaran, Bandung, West Java, IndonesiaManagement Science, Faculty of Economics and Business, Universitas Padjadjaran, Bandung, West Java, IndonesiaManagement Science, Faculty of Economics and Business, Universitas Padjadjaran, Bandung, West Java, IndonesiaAbstractThis study evaluates the relationship investor sentiment, exchange rate volatility, net foreign portfolio investment and the country index crash risk. The moderating variable, net foreign portfolio investment, is introduced. While previous crash risk studies typically focus on individual firms, this study takes a country-level perspective. CRASH, NCSKEW and DUVOL represent the Country Index Crash risk. The data will be analyzed using EViews software, including panel data from logistic regression and OLS regression using a two-dimensional clustered standard error method. The findings demonstrate the importance of exchange rate fluctuations and investor mood in affecting the country index crash risk. The influence of Net Foreign Portfolio Investment on the crash risk is negligible. Moreover, the study reveals that higher Net Foreign Portfolio Investment does not strengthen the impact of Investor Sentiment but weakens its influence in conjunction with Exchange Rate Volatility on the country index crash risk.https://www.tandfonline.com/doi/10.1080/23322039.2024.2305481Net foreign portfolio investmentinvestor sentimentexchange rate volatilitycountry index crash riskCRASHNCSKEW |
| spellingShingle | Lisa Kustina Rachmat Sudarsono Nury Effendi Does foreign portfolio investment moderate the impact of exchange rate volatility and investor sentiment on country index crash risk? Cogent Economics & Finance Net foreign portfolio investment investor sentiment exchange rate volatility country index crash risk CRASH NCSKEW |
| title | Does foreign portfolio investment moderate the impact of exchange rate volatility and investor sentiment on country index crash risk? |
| title_full | Does foreign portfolio investment moderate the impact of exchange rate volatility and investor sentiment on country index crash risk? |
| title_fullStr | Does foreign portfolio investment moderate the impact of exchange rate volatility and investor sentiment on country index crash risk? |
| title_full_unstemmed | Does foreign portfolio investment moderate the impact of exchange rate volatility and investor sentiment on country index crash risk? |
| title_short | Does foreign portfolio investment moderate the impact of exchange rate volatility and investor sentiment on country index crash risk? |
| title_sort | does foreign portfolio investment moderate the impact of exchange rate volatility and investor sentiment on country index crash risk |
| topic | Net foreign portfolio investment investor sentiment exchange rate volatility country index crash risk CRASH NCSKEW |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2024.2305481 |
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