Analysis of the validity of the Return-Chasing hypothesis

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The research investigates the validity of Anthony Tu's Return-chasing hypothesis across Latin American, European, and Asian economies, focusing on investor behavior in relation to risk and return. A descriptive study analyzed data from stock indexes in Brazil, Chile, Colombia, Germany, Spain, the UK, China, Singapore, and India from January 2006 to December 2019. Utilizing a Garch-M model, the study reveals that capital inflows impact each economy differently, highlighting distinct behaviors between emerging and developed markets.