Aggregate net flows, inflows, and outflows of equity funds: The U.S. versus Japan

Miyoun Paek and Kwangsoo Ko

Japan and the World Economy, 2014, vol. 32, issue C, 85-95

Abstract: This paper investigates the aggregate cash inflows and outflows of domestic equity mutual funds as well as their net flows for the U.S. and Japan in an international context. The U.S. and Japan are two representative countries that have the largest and most developed fund markets in the Western world and Asia, respectively. For the purpose of analyzing dynamic relationships between market volatility, market return, and cash flow, this paper employs reduced-form and structural vector auto-regression (VAR) models. The analysis shows much different empirical findings between the U.S. and Japan, which can be explained by different culture and investment sentiments.

Keywords: Equity mutual fund; Cash inflows; Cash outflow; Dynamic relationship (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:japwor:v:32:y:2014:i:c:p:85-95

DOI: 10.1016/j.japwor.2014.08.001

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