Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market

Guglielmo Maria Caporale, Nikolaos Philippas and Nikitas Pittis ()

Applied Financial Economics, 2004, vol. 14, issue 14, 981-989

Abstract: This paper examines the dynamic interactions between mutual fund flows and security returns in an emerging capital market, namely the Greek one. It adopts a testing strategy not requiring pre-testing (which might generate severe biases) but simply augmenting the system (Toda and Yamamoto, 1995, Journal of Econometrics, 66, 225-50). The resulting statistics follow standard distributions, and valid inference can be drawn. Further, possible feedbacks from international capital markets are taken into account by including in the system the Dow Jones index. By combining causality tests and generalized impulse response analysis (as in Pesaran and Shin, 1998, Economic Letters, 58, 17-29), it is found that momentum trading is the most plausible explanation for dynamic feedbacks, and that temporary price pressures might also be a relevant factor, whilst information revelation does not appear to play a role.

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/0960310042000263941 (text/html)
Access to full text is restricted to subscribers.

Related works:
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: https://EconPapers.repec.org/RePEc:taf:apfiec:v:14:y:2004:i:14:p:981-989

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/0960310042000263941

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().