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@inproceedings{1397346,
author = {Lemeshko, Oleksandra},
address = {Brno},
booktitle = {European Financial Systems 2017. Proceedings of the 14th International Scientific Conference},
editor = {Masaryk University},
keywords = {equity fund flows; excess share market returns; Granger-causality; BRIC},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Brno},
isbn = {978-80-210-8609-8},
pages = {466-474},
publisher = {Masaryk University},
title = {The dynamic relationship between aggregate fund flows and share market returns: Empirical evidence from BRIC},
year = {2017}
}
TY - JOUR
ID - 1397346
AU - Lemeshko, Oleksandra
PY - 2017
TI - The dynamic relationship between aggregate fund flows and share market returns: Empirical evidence from BRIC
PB - Masaryk University
CY - Brno
SN - 9788021086098
KW - equity fund flows
KW - excess share market returns
KW - Granger-causality
KW - BRIC
N2 - Already for more than twenty years investigation of dynamic relationship between aggregate fund flows and share returns represents considerable interest for both practitioners and academicians. The former may use such investigation as useful aid for volatility timing for their investment portfolios; the latter may use such evidence as a proof of efficient market hypothesis violation, which, if found, will have far-reaching implications for the theory of finance. In this paper we aim to investigate the dynamic bidirectional interaction between aggregate fund flows and excess share market returns in a group of emerging BRIC economies. Particularly, we investigate the possibility of a causality mechanism through which aggregate domestic equity fund flows may affect local excess share market returns and vice versa in short-term and long-term period by means of Engle-Granger causality test and VECM.
ER -
LEMESHKO, Oleksandra. The dynamic relationship between aggregate fund flows and share market returns: Empirical evidence from BRIC. In Masaryk University. \textit{European Financial Systems 2017. Proceedings of the 14th International Scientific Conference}. Brno: Masaryk University, 2017, s.~466-474. ISBN~978-80-210-8609-8.
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