EconPapers    
Economics at your fingertips  
 

The dynamics of market volatility, market return, and equity fund flow: International evidence

Bong Soo Lee, Miyoun Paek, Yeonjeong Ha and Kwangsoo Ko

International Review of Economics & Finance, 2015, vol. 35, issue C, 214-227

Abstract: We identify and test the structural VAR model for the relations among market volatility, market return, and aggregate equity fund flows in an international context. The major empirical findings are as follows. First, reduced-form and structural VAR analyses demonstrate that the relations among the three variables are most evident in the U.S. Second, the structural VAR model shows that contemporaneous effects are the most relevant factor in these relations. Third, the results of a variance decomposition analysis imply that Western investors are more concerned with market volatility and return than Asian investors when they buy and redeem equity funds. Fourth, the hypothesis tests reveal that the overall effects observed in this study are largely attributable to contemporaneous effects. In conclusion, the empirical evidence from the U.S. might not be directly applicable to other countries, particularly Asian countries.

Keywords: Market volatility; Market return; Equity fund flow; Structural VAR; Identification (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056014001634
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:reveco:v:35:y:2015:i:c:p:214-227

DOI: 10.1016/j.iref.2014.10.001

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-05-02
Handle: RePEc:eee:reveco:v:35:y:2015:i:c:p:214-227