scholarly journals The relationship between mutual fund flows and stock market returns: A comparative empirical analysis

2010 ◽  
Vol 8 (1) ◽  
pp. 785-799
Author(s):  
B. Yangbo ◽  
Jayasinghe Wickramanayake ◽  
John R. Watson ◽  
Stan Tsigos
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Mutual Fund ◽  
Fund Flows ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Difference ◽  
Mutual Fund Flows ◽  
The Relationship ◽  
Equity Mutual Fund

This paper examines the relationship between aggregate equity mutual fund flows and excess stock market returns in Hong Kong and Singapore. Our findings demonstrate that, in Hong Kong, two-way causality exists between aggregate equity mutual fund flows and stock market returns. In comparison, despite their close proximity and reputation as global hubs no such finding is reported in the case of Singapore. We find that in Singapore, neither aggregate equity mutual fund flows Granger-cause subsequent excess stock market returns nor excess stock market returns Granger-cause subsequent aggregate equity mutual fund flows. The difference in findings is attributed to the degree of openness for each country. Additionally, for both Hong Kong and Singapore, we find that contemporaneous aggregate unexpected equity mutual fund flows positively affect excess stock market returns and vice versa. The study contributes to the literature by providing support with what is already known in regards investor heuristics, that excess stock market returns has a positive effect on aggregate equity mutual fund flows.

Determinants of mutual fund flows

2015 ◽  
Vol 41 (1) ◽  
pp. 10-25 ◽  
Author(s):  
Fredrik Kopsch ◽  
Han-Suck Song ◽  
Mats Wilhelmsson
Keyword(s):  
Mutual Fund ◽  
The Body ◽  
Fund Flows ◽  
Real Economy ◽  
Stock Market Returns ◽  
Content Type ◽  
Vector Autoregressive ◽  
Financial Variables ◽  
Mutual Fund Flows ◽  
The Relationship

Purpose – The purpose of this paper is to study the determinants of aggregate fund flows to both equity and hybrid mutual funds. The authors test three hypotheses that help explaining the relationship between mutual fund flows and stock market returns, namely; the feedback-trader hypothesis, the price-pressure hypothesis, and the information-response hypothesis. Design/methodology/approach – The study relies on Swedish quarterly data on mutual fund flows over the period 1998-2013. The methodology is twofold; through the structural models (AR(1)) the authors can say something regarding the relationship between mutual fund flows and financial macro variables. The analysis is further strengthened by utilizing a vector autoregressive model to test for Granger causality in order to determine the order of events. Findings – Similar to both Warther (1995) and Jank (2012), the authors only find support for the information-response hypothesis. Additionally, the authors find new financial variables that have predictive power in determining mutual fund flows, namely; market fear (VIX), exchange rate, households’ expectation regarding inflation as well as outflows from mutual bond funds. Originality/value – The study contributes to the body of literature in three ways. First, it complements recent findings on determinants of mutual fund flows but the authors also add to the knowledge by included new macro financial variables describing the real economy. Second, the authors include a few additional variables. Third, the vast majority of previous studies have used US data, the authors add to that a deeper understanding of determinants of mutual fund flows in smaller economies by using Swedish data.

scholarly journals Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China

2011 ◽  
Vol 7 (3) ◽  
Author(s):  
Robert D. Gay, Jr.
Keyword(s):  
Stock Market ◽  
Emerging Economies ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Share Prices ◽  
Market Index ◽  
The Relationship ◽  
India And China

The relationship between share prices and macroeconomic variables is well documented for the United States and other major economies. However, what is the relationship between share prices and economic activity in emerging economies? The goal of this study is to investigate the time-series relationship between stock market index prices and the macroeconomic variables of exchange rate and oil price for Brazil, Russia, India, and China (BRIC) using the Box-Jenkins ARIMA model. Although no significant relationship was found between respective exchange rate and oil price on the stock market index prices of either BRIC country, this may be due to the influence other domestic and international macroeconomic factors on stock market returns, warranting further research. Also, there was no significant relationship found between present and past stock market returns, suggesting the markets of Brazil, Russia, India, and China exhibit the weak-form of market efficiency.

Revisiting Macroeconomy–Stock Market Relationship During Times of Economic Crisis: A Study of Emerging Markets

2017 ◽  
Vol 13 (1-2) ◽  
pp. 52-69
Author(s):  
Gagan Deep Sharma ◽  
Mrinalini Srivastava ◽  
Mansi Jain
Keyword(s):  
Latin America ◽  
Financial Crisis ◽  
Stock Market ◽  
Emerging Markets ◽  
Economic Crisis ◽  
Global Financial Crisis ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
The Relationship

This article examines the relationship between six macroeconomic variables and stock market returns of 13 emerging markets from Latin America, Europe, Africa and Asia in the context of global financial crisis of 2008. The findings reveal some commonality in determination and variation of returns with macroeconomic variables from pre-crisis (1st January 2005–31st March 2009) to post-crisis period (1st April 2009–31st March 2016). Further, results show co-integration among most of the macroeconomic variables depicting significant implications for investors and policymakers.

Impact of the Pandemic on Information and E-Commerce Stock Market Returns: The Case of Hong Kong

2021 ◽  
Author(s):  
Jiangsheng Zhao ◽  
Zhibin Xu ◽  
Jiansong Zheng ◽  
Binglin Tang ◽  
Yaoxi Jin
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
Market Returns ◽  
Stock Market Returns

Aggregate congressional trading and stock market returns

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Serkan Karadas ◽  
Minh Tam Tammy Schlosky ◽  
Joshua C. Hall
Keyword(s):  
Stock Market ◽  
Industrial Production ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
Macroeconomic Information ◽  
Corporate Insiders ◽  
The Media ◽  
Congressional Trading ◽  
The Relationship

Purpose What information do members of Congress (politicians) use when they trade stocks? The purpose of this paper is to attempt to answer this question by investigating the relationship between an aggregate measure of trading by members of Congress (aggregate congressional trading) and future stock market returns. Design/methodology/approach The authors follow the empirical framework used in academic work on corporate insiders. In particular, they aggregate 61,998 common stock transactions by politicians over the 2004–2010 period and estimate time series regressions at a monthly frequency with heteroskedasticity and autocorrelation robust t-statistics. Findings The authors find that aggregate congressional trading predicts future stock market returns, suggesting that politicians use economy-wide (i.e. macroeconomic) information in their stock trades. The authors also present evidence that aggregate congressional trading is related to the growth rate of industrial production, suggesting that industrial production serves as a potential channel through which aggregate congressional trading predicts future stock market returns. Originality/value To the best of the authors’ knowledge, this study is the first to document a relationship between aggregate congressional trading and stock market returns. The media and scholarly attention on politicians’ trades have mostly focused on the question of whether politicians have superior information on individual firms. The results from this study suggest that politicians’ informational advantage may go beyond individual firms such that they potentially have superior information on the overall trajectory of the economy as well.

scholarly journals Opportunity or Crisis? Volatility and Leverage Effect in the World’s Largest Economies

2019 ◽  
Vol 9 (4) ◽  
pp. 1
Author(s):  
Amalendu Bhunia ◽  
Devrim Yaman
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Market Volatility ◽  
Future Market ◽  
Market Returns ◽  
Stock Market Returns ◽  
The Us ◽  
The World ◽  
The Impact ◽  
The Relationship

This paper examines the relationship between asset volatility and leverage for the three largest economies (based on purchasing power parity) in the world; US, China, and India. Collectively, these economies represent Int$56,269 billion of economic power, making it important to understand the relationship among these economies that provide valuable investment opportunities for investors. We focus on a volatile period in economic history starting in 1997 when the Asian financial crisis began. Using autoregressive models, we find that Chinese stock markets have the highest volatility among the three stock markets while the US stock market has the highest average returns. The Chinese market is less efficient than the US and Indian stock markets since the impact of new information takes longer to be reflected in stock prices. Our results show that the unconditional correlation among these stock markets is significant and positive although the correlation values are low in magnitude. We also find that past market volatility is a good indicator of future market volatility in our sample. The results show that positive stock market returns result in lower volatility compared to negative stock market returns. These results demonstrate that the largest economies of the world are highly integrated and investors should consider volatility and leverage besides returns when investing in these countries.

scholarly journals Effects of Daylight Saving Time Changes on Stock Market Volatility: A Reply

2011 ◽  
Vol 109 (3) ◽  
pp. 863-878 ◽  
Author(s):  
Hakan Berument ◽  
Nukhet Dogan
Keyword(s):  
Stock Market ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
Daylight Saving Time ◽  
Daylight Saving ◽  
Stock Market Return ◽  
Decision Making Processes ◽  
Time Changes ◽  
The Relationship

There is a rich array of evidence that suggests that changes in sleeping patterns affect an individual's decision-making processes. A nationwide sleeping-pattern change happens twice a year when the Daylight Saving Time (DST) change occurs. Kamstra, Kramer, and Levi argued in 2000 that a DST change lowers stock market returns. This study presents evidence that DST changes affect the relationship between stock market return and volatility. Empirical evidence suggests that the positive relationship between return and volatility becomes negative on the Mondays following DST changes.

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