This paper examines the determinants of portfolio capital flows of both advanced and emerging markets and aims to obtain better understanding of detailed characteristics and patterns of cross-country capital flows. We investigated separate effects of push and pull factors in cross-country capital flows of both debt and equity markets. There is also an analysis of the effects of changes in monetary policy stance and capital market volatility on both international investments in equity and debt securities. In addition to macro analysis of international capital flows, we also expand the scope of our analysis to micro-level data and derive comprehensive implications, which do not appear frequently in current literature.
Our results suggest push factors such as global capital market volatility had significant effect on net equity capital flows in emerging markets, whereas pull factors such as financial market developments had significant effect on net debt capital flows. We also found that significant determinants of capital flows to advanced market were different from flows to emerging markets. Moreover, there were a number of factors whose effects displayed significant changes since the global financial crisis, reflecting changes in the international capital market environment. The negative effect of global capital market volatility on the net flows to emerging equity market stayed at about the same level before and after the crisis, however the effects of some of the pull factors such as financial market development on the portfolio capital flows increased considerably, especially on the flows to debt markets.
Our analysis of the effects of monetary policy changes on the portfolio capital flow suggests that the increase in real short term interest rates does not significantly decrease the capital flows to both equity and debt markets in emerging economies. The seemingly insignificant response of emerging capital markets to the increase in real interest rates has to be interpreted with caution, however. The short-term real interest rates may not truly reflect the changes in monetary policy because the transmission channel of the short term interest rate is very wide and complex. Therefore there is a risk that the increase in real interest rates alone may not capture all the effects of monetary policy. On the contrary, a rise in global capital market volatility actually increased the net flow to equity markets of advanced economies and decreased the flows to emerging markets.
Lastly, we examined the effects of investor base concentration on the international capital flows. We found that higher investor base concentration was associated with higher volatility of capital flows and that high participation rate of hedge funds had positive association with high capital flow volatility. When we divided the entire sample into advanced and emerging markets, we found positive and significant effect of investor base concentration on capital flow volatility in emerging markets. On the contrary, we did not find similar results in advanced economies. In our analysis, the sample period was divided into periods before and after the global financial crisis. We thus confirmed that there was a similar level of importance of the investor base concentration for capital flow volatility. Moreover, we found considerably more capital had flowed into countries with high investor base concentration after the crisis.
Summarizing our findings above, there are several interesting implications for international capital flows. First, country fundamentals are very important determinants of overall international capital flows, despite there being some parts of the capital market with greater susceptibility to shocks from global factors. Therefore, it is suggested that policy makers in emerging economies may benefit from improving fundamentals and from differentiating one’s economy from other emerging economies, although it is still important to build strategies in response to changes in global factors.
Secondly, in the likely scenario of policy rate hike during the course of normalization of super easy monetary policy, capital outflow is likely to take place in advanced economies rather than emerging ones. Since this conclusion is drawn from the analysis of international capital allocations by U.S. investors only, the conclusion is a limited one in that we do not have complete data for investors from other advanced economies. It is also possible that the insignificant reaction in emerging market portfolio capital flows could be due to varied level of responses within emerging countries, as we saw in connection with the first implication stated by our paper. In the scenario with increased global capital market volatility, our result suggests capital will flow into equity markets of advanced economies and flow out of equity markets of emerging economies. If the rate hike is accompanied with increases in volatility, we expect to see capital out flows from debt markets of advanced economies and equity markets of emerging economies.
Finally, we found that capital flow was concentrated in countries with higher potential for volatile capital flows. Therefore, caution is warranted in those countries. After the global financial crisis, we saw large increase of capital flow towards emerging economies whose investor base was concentrated. Recalling that a higher concentration of investor base was associated with higher capital flow volatility, we can deduce that the countries with concentrated investor base can exhibit rapid reversal of capital flows in the even of increased global volatility.

서언
 
국문요약 

제1장 서론 

제2장 글로벌 금융위기 전후 국가간 자금흐름의 결정요인 분석 
1. 글로벌 금융위기 당시 해외 포트폴리오 자본 유출입 현황 
2. 글로벌 금융위기를 전후한 자본 순 유(출)입의 결정요인 분석 
   가. 연구의 배경: 세계적 요인 vs. 국가 특성 요인 
   나. 자본 순 유(출)입 결정요인: 실증 모형과 분석 
   다. 글로벌 금융위기 이후 자본 순 유입의 결정 
3. 소결 

제3장 미국의 통화정책 및 글로벌 리스크 변화가 국가간 자금흐름에 미치는 영향 
1. 미국 양적완화와 금융시장 
2. 미국의 금융 충격이 해외 포트폴리오 투자에 미친 영향 
   가. 연구의 배경 
   나. 자료 및 분석방법 
   다. 실증분석 결과 
3. 소결 

제4장 Macro to Micro: 해외 포트폴리오 투자자의 구성과 자본이동 
1. 외국인투자자 기반 집중도와 자본이동의 변동성 
   가. 연구의 배경 
   나. 외국인투자자 기반 집중도 
   다. 외국인투자자 기반 집중도와 자본이동의 변동성 
2. 글로벌 금융위기 이후의 투자자 기반 집중도와 자본의 이동 
3. 소결 

제5장 결론 및 정책적 시사점 
1. 결론 
2. 정책적 시사점 

참고문헌 

Executive Summary