The dynamic relationship between aggregate fund flows and share market returns: Empirical evidence from BRIC

LEMESHKO, Oleksandra. The dynamic relationship between aggregate fund flows and share market returns: Empirical evidence from BRIC. In Masaryk University. European Financial Systems 2017. Proceedings of the 14th International Scientific Conference. Brno: Masaryk University, 2017, p. 466-474. ISBN 978-80-210-8609-8.

Basic information

• Original name: The dynamic relationship between aggregate fund flows and share market returns: Empirical evidence from BRIC
• Authors: LEMESHKO, Oleksandra (804 Ukraine, guarantor, belonging to the institution).
• Edition: Brno, European Financial Systems 2017. Proceedings of the 14th International Scientific Conference, p. 466-474, 9 pp. 2017.
• Publisher: Masaryk University

Other information

• Original language: English
• Type of outcome: Proceedings paper
• Field of Study: 50206 Finance
• Country of publisher: Czech Republic
• Confidentiality degree: is not subject to a state or trade secret
• Publication form: printed version "print"
• RIV identification code: RIV/00216224:14560/17:00108770
• Organization unit: Faculty of Economics and Administration
• ISBN: 978-80-210-8609-8
• UT WoS: 000418110700057
• Keywords in English: equity fund flows; excess share market returns; Granger-causality; BRIC
• Tags: International impact, Reviewed

Abstract

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.

Links

• MUNI/A/1039/2016, interní kód MU: Name: Modelování volatility na finančních trzích a její aplikace v oblasti řízení rizik a oceňování aktiv (Acronym: VOLATILITA)

Investor: Masaryk University, Category A