ادغام در بازار جهانی از دیدگاه سرمایه گذاران مستقیم خارجی

This paper is motivated by the unparalleled increase in foreign direct investment to emerging market economies of the last 25 years. Using a large cross-country time-series data set, we evaluate the dependence of foreign direct investment on global factors, or worldwide sources of risk (i.e., factors that drive foreign direct investment across several countries). We construct a globalization measure that equals the share of explained variation in direct investment attributable to global factors. We show that our globalization measure has increased steadily for developing and developed countries. For the full sample of countries, the globalization measure rose by over 10-fold from 1985 to 1999. Furthermore, in recent years, developing countries' exposure to global factors has approached that of developed countries. Finally, our globalization measure correlates strongly with measures of capital market liberalization, supporting our hypothesis that increased market integration leads to a greater role for worldwide sources of risk. We discuss the implications of our results for public policies regarding capital market liberalization and policies directed at attracting foreign investment.

Recently, there has been a strong move towards greater integration of emerging market economies into world capital markets. The process of integration starts with the removal of capital market restrictions, most notably the liberalization of foreign investors' participation in domestic stock markets, the listing of domestic firms in foreign markets, and the privatization of state-owned companies.2 Among the main goals of these reforms are a reduction in the domestic cost of capital, an increase in foreign capital inflows and in economic activity.3 This paper analyzes the dynamics of foreign capital flows, particularly foreign direct investment, in response to increased integration of capital markets. We choose to focus on capital flows rather than stock prices for two main reasons. First and foremost, the success and continuity of the liberalization reforms depend on the benefits of such programs, which, on the basis of the current evidence on stock prices, might be viewed as meager by reform opponents.4 Of course, it is possible that the noted small stock price impact reflects the reforms' imperfect credibility. If that is the case, one would expect flows to behave in a fashion similar to prices; otherwise, one would expect flows to increase significantly. In addition, not much is known about the dynamics of international capital flows in connection with the recent period of global capital market integration. Our analysis focuses on foreign direct investment as opposed to portfolio equity flows, or total capital flows for three reasons.5 First, foreign direct investment is the fastest growing form of international capital flows and the most important form of private international financing for emerging market economies. As a fraction of world gross domestic product, total private capital inflows to emerging markets grew from a steady annual average of 1.3% in the period from 1976 to 1989 to an annual average of 2.0% in the period from 1990 to 2000, representing a 56% increase. During this period, foreign direct investment flows increased at an average rate that was 9% points higher than that of portfolio equity and bond flows.6 To the extent that multinational corporations are vehicles for improving risk sharing across countries (e.g., Errunza et al., 1999 and Rowland and Tesar, 2004), they may be partly responsible for the small price response of domestically listed firms after stock market liberalizations. Second, observed low portfolio equity inflows are perhaps more a reflection of the weak development of the domestic capital market in the emerging and liberalizing economies, than a lack of interest in pursuing greater diversification by foreign investors. In fact, many local companies in liberalizing countries have chosen to list elsewhere in order to reach foreign investors directly in their home market. While in many ways foreign direct investment behaves as equity, it does not rely on the existence of developed domestic stock markets. Third, because stock markets in emerging economies constitute a small portion of the domestic economy, it is likely that the impact in the overall economy of additional inflows of equity portfolio is muted. The first step in our exercise is to identify the drivers of foreign direct investment. We separate these drivers into global and local factors. Global factors explain foreign direct investment into and from several countries. Local factors are country-specific and have no direct or indirect impact on foreign direct investment across countries. Global factors are not just parent or source country factors as the latter do not explain outward direct investment originating in different countries. 7 A simple equilibrium model of world foreign direct investment is developed to help define these concepts. To the best of our knowledge, this is the first paper that studies the relevance of global factors as determinants of foreign direct investment. In the next step of the analysis, we estimate a model of foreign direct investment that explicitly accounts for global factors using a large cross-section and time-series data set of developing and developed countries. We use these estimates to get a measure of the exposure of countries to global factors. This we call the globalization measure. The globalization measure captures the explained variance in foreign direct investment that is due to variation in global factors. To construct the globalization measure, we make the natural identifying assumption that the component of the local factors that is correlated with the global factors is itself a global factor, although we show that this is not critical for our results. Our empirical approach uses both the time series and cross sectional dimension of the data. We reestimate the investment model over moving windows of 16 years of data and use the reestimated model to compute the globalization measure. This approach accommodates the difficult problem of identifying structural breaks, and possibly multiple breaks, in a large cross-section of countries and with many variables.8 The analysis reveals that global factors have increased in importance in explaining the dynamics of the cross section of foreign direct investment over time for developing and developed countries. For the full sample of countries in 1999, the globalization measure increased by over 10-fold since 1985. Furthermore, developing countries' exposure to global factors has increased faster than that of developed countries and the gap is narrower at the end of the 1990s. The performance of Asian and Latin American countries is quite similar. Interestingly, we find a significant decline in global factors as drivers of direct investment around the time of the debt crisis of the 1980s for developing and developed countries alike, but no noticeable change due to the recent Mexican, Russian, or East Asian crises. The third and last step of our analysis relates the driving factors of foreign direct investment to the observed increased integration of capital markets. To motivate this connection, we use the equilibrium model of world foreign direct investment developed earlier to argue that increased financial integration increases the relative importance of global factors as drivers of foreign investment. This is because some local factors, whose risk can be traded away with financial liberalization, no longer impact asset allocation decisions. Moreover, there might also be new global factors, which, before, had only a local dimension. In the model, this occurs for example when financial liberalization leads to complete international risk sharing upon which country-specific productivity shocks become part of systematic risk. Consistent with the hypothesis of increased world capital market integration, we show that our globalization measure is explained to a significant extent by the level of financial liberalization as measured by the liberalization variables in Bekaert et al. (2002c). The increased exposure to global factors that we find is associated with increased flows of direct investment into emerging market economies. While these findings constitute evidence of greater worldwide capital market integration, we also find that growth in local productivity, trade openness, domestic financial depth, low government burden, and domestic macroeconomic stability are important local factors. The sequence of the paper is as follows. Section 2 presents a simple equilibrium model of foreign direct investment and introduces the notions of global and local factors. Section 3 implements an empirical model of direct foreign investment encompassing local and global factors, reports basic estimation results, and constructs the globalization measure. Section 4 assesses the link between our globalization measure and capital market liberalization, and Section 5 considers extensive robustness checks on the empirical analysis. Finally, Section 6 concludes with a discussion of the public policy implications of our findings. 2. Global and local factors in foreign direct investment This section starts by introducing a simple equilibrium model of foreign direct investment whose main purpose is to define and illustrate global and local factors as drivers of foreign direct investment. Once the notions of global and local factors have been developed, we discuss several extensions to the simple model.9 The model introduced in this section is used later in Section 4 to analyze the effects of financial liberalization on the role played by global and local factors in explaining direct investment patterns.