SIKLUS BISNIS, RISIKO KETIDAKPASTIAN, DAN RESPON GROSS CAPITAL FLOW DI ASIAN-EMERGING ECONOMIES: PENDEKATAN DEKOMPOSISI SIKLUS

Abstract

Neoclassical investment theory explain the characteristic of capital inflow to countries. However, it couldn’t explain how the characteristic of capital outflow abroad countries. This condition could give some puzzle to use a theory of portofolio asset choice for the new approach. This research aims to analyze the characteristic of gross capital flows, wheter threre are a portofolio bias behaviour that conducted by domestic investor and foreign investor. The portofolio bias analysis can be conducted by picturizing the characteristic of domestic and foreign investor asset demand behaviour in respond toward the changes of economy cycle and risk of uncertainty in global economy. This research will be focused on the capital market. By using Assymetric Error Correction Model (AECM) and data in period of 2004-2017, the result shows that there are several cases of portofolio bias, which are: 1) Foreign investor undervaluate the Asian-Emerging Countries financial asset; 2) The domestic and foreign investor tend to treat the domestic financial asset as a ‘safe haven investment’. In particular, the characteristic of domestic and foreign investor asset demand in respond toward the changes of economy cycle and risk of uncertainty in global economy are variative.