Stock returns and investment trust flows in the Japanese financial market: A system approach
Heung-Joo Cha and
Journal of Asian Economics, 2010, vol. 21, issue 4, 327-332
To study dynamic and causal relations between stock returns and investment trust flows in Japan, we employ a system method which utilizes information from the stock, bond, and money markets. The empirical evidence from SURECM, and Granger (1969) and Sims (1972) causality tests in the system method indicates that investment trust flows are weakly exogenous and stock returns cause net fund flows, implying that investors move their money to the securities that yield higher returns to rebalance their investment portfolios in the short-run. Thus, our findings do not support the popular notion of mutual fund flows as a driving force behind rallies in Japanese financial markets.
Keywords: Stock; returns; Investment; trust; flows; Granger; causality; Cointegration; SURECM (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:21:y:2010:i:4:p:327-332
Access Statistics for this article
Journal of Asian Economics is currently edited by C. Wiemer
More articles in Journal of Asian Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().