International fund investment and local market returns

Yothin Jinjarak, Jon Wongswan and Huanhuan Zheng

Journal of Banking & Finance, 2011, vol. 35, issue 3, 572-587

Abstract: International fund investment in bonds and equities is characterized by a positive association between current net inflows and contemporaneous and past market returns: positive-feedback trading, while being possibly profitable for international fund investors, could be destabilizing for the underlying markets. Allowing for interactions between equity investment and bond investment, our panel vector autoregression shows that past equity returns contain useful information in forecasting equity and bond flows and that bond flows impact future equity returns positively.

Keywords: Asset; returns; Bonds; and; equities; Capital; flows; Institutional; investors; Global; integration (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:35:y:2011:i:3:p:572-587

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