Index Funds and Stock Market Growth

William Goetzmann () and Massimo Massa
Additional contact information
Massimo Massa: INSEAD

Journal of Business, 2003, vol. 76, issue 1, pages 1-28

Abstract: We use 2 years of daily flows for three major Standard and Poor's index funds to analyze the relationship among index funds, asset prices, and volatility. We find strong contemporaneous correlation between inflows and returns, no evidence for positive feedback trading, and evidence that negative market returns may induce subsequent sales. Market volatility affects investors as dynamic risk sharing, but higher volatility does not drive investors from the market. Bullish newsletter sentiment is associated with greater inflows. We report high correlation among investor disagreement and market uncertainty and flows. Dispersion in advice and open interest correlate with lower inflows.

Date: 2003
View citations in EconPapers

Downloads: (external link)
http://www.journals.uchicago.edu/cgi-bin/resolve?JB760101 main text (application/pdf)

Related works:
Working Paper: Index Funds and Stock Market Growth (1998)
Working Paper: Index Funds and Stock Market Growth (1999)
Working Paper: Index Funds and Stock Market Growth (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ucp:jnlbus:v:76:y:2003:i:1:p:1-28

Ordering information: This journal article can be ordered from
http://www.journals.uchicago.edu/JB/home.html

Access Statistics for this article

Journal of Business is edited by Albert Madansky

More articles in Journal of Business from University of Chicago Press
Address: The University of Chicago Press, Journals Division, P.O. Box 37005 Chicago, IL 60637
Series data maintained by Christopher F. Baum ().