1. Can they follow me to my country and reclaim the loan?
They CAN, but whether or not they WILL is something different entirely.
2. Can I be arrested in my country for not paying my loan?
Failure to pay your debts is not a criminal offense. No arrest, just lots of angry letters and phone calls.

3. Can they coordinate with their branches (offshore) and harass me to repay the loan?
Yes. For instance, if you have a loan with HSBC here in the US, and you're taking off to...let's say Hong Kong, for example, I know they have a branch there, you can be tracked down via information you gave them at the time of taking out the loan. And you can expect to find your mailbox full of dunning notices and your phone ringing off the wall.

It doesn't matter that you lost it all to the stock market, I'm sure your loan does not have a "but you don't have to repay it if the stock market crashes" clause.