RETURN, VOLATILITY AND FUND FLOWS LINKAGES: MALAYSIAN EVIDENCE

Yue Meinn Goh and Ros Zam Zam Sapian
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Yue Meinn Goh: National University of Malaysia
Ros Zam Zam Sapian: National University of Malaysia

Management and Marketing Journal, 2017, vol. XV, issue 2, 59-69

Abstract: This study examines the relationship between market return and market volatility; and fund flows of equity and vice versa. Using daily aggregate data of equity fund flows, institutional and retail both local and foreign, this study finds that market return has a negative correlation with net equity flows except that of net equity flows of foreign institutions. Market volatility, on the other hand, has a positive correlation with net equity flows of local investors both institutional and retail whilst a negative correlation with net equity flows of foreign investors, also both institutional and retail. Additionally, there is a unidirectional relationship running from both market return and market volatility to net equity flows. This is especially evident for trades of foreign institutional investors. Equity fund flows are neither affect market return nor market volatility.

Keywords: Market return; market volatility; equity fund flows; institutional and retail investors (search for similar items in EconPapers)
JEL-codes: G15 G18 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:aio:manmar:v:xv:y:2017:i:2:p:59-69

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