EconPapers    
Economics at your fingertips  
 

Dynamics of mutual funds and stock markets in Asian developing economies

Fiza Qureshi, Ali Kutan (), Abdul Ghafoor, Habib Hussain Khan and Zeeshan Qureshi

Journal of Asian Economics, 2019, vol. 65, issue C

Abstract: The study examines the relationship among mutual fund flows, stock market returns, and macroeconomic indicators for nine Asian developing economies. Data for the period 2001–2017 encompass more than 9600 equity and bond funds. Monthly frequency is used to analyze the relationship between fund flows and market returns, with quarterly frequency adopted with the incorporation of macroeconomic variables. The study employs a panel vector autoregressive model in the context of generalized method of moments estimation to identify the dynamic relationships. The findings suggest that fund flows respond to past stock market returns, equity fund flows positively so and bond fund flows negatively so. Once macroeconomic variables are controlled for, a reverse causality from fund flows to market returns is not discerned. The study further finds bi-directional causality between fund flows and macroeconomic conditions, which means not only do investors respond to past conditions, they also correctly anticipate future conditions.

Keywords: Mutual fund flows; Feedback trading hypothesis; Information response hypothesis; Asian developing; Economies (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1049007818302896
Full text for ScienceDirect subscribers only

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:eee:asieco:v:65:y:2019:i:c:s1049007818302896

DOI: 10.1016/j.asieco.2019.101135

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 Nithya Sathishkumar ().

 
Page updated 2021-03-28
Handle: RePEc:eee:asieco:v:65:y:2019:i:c:s1049007818302896