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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, p.~466-474. ISBN~978-80-210-8609-8.
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