Aydogan, BernaVardar, GulinYelkenci, Tezer2023-06-162023-06-1620211752-08431752-0851https://doi.org/10.1080/17520843.2020.1814376https://hdl.handle.net/20.500.14365/1780This paper focuses on the role of exchange rate uncertainty on the net portfolio flows using a bilateral monthly data for the US vis-a-vis six emerging countries (E-6) (India, Brazil, Mexico, Russia, Indonesia and Turkey) over the period 1993:01-2017:12. Employing Markov Regime Switching CCC GARCH model, the results suggest that exchange rate volatility affects both net bond and net equity flows for whole sample. The correlation evidence between net portfolio flows and exchange rate uncertainty is stronger in the cases of Brazil and Mexico, in terms of supporting these countries' bond and equity home bias in high volatility regime.eninfo:eu-repo/semantics/closedAccessInternational Portfolio Flowsexchange rate uncertaintyMarkov Switching Regime Shiftsnonlinear dependenceCCC GARCHHome BiasCapital FlowsInvestmentModelDiversificationSegmentationPreferenceReturnsPricesDollarArticle10.1080/17520843.2020.18143762-s2.0-85090138645