Non linear diachronic effects between stock returns and mutual fund flows: Additional empirical evidence from the Athens Stocks Exchange

Eleni Thanou Thanou () and Dikaios Tserkezos ()
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Eleni Thanou Thanou: Hellenic Open University
Dikaios Tserkezos: Department of Economics, University of Crete, Greece

No 824, Working Papers from University of Crete, Department of Economics

Abstract: This short paper examines the nonlinear interaction between mutual fund flows and stock returns in Greece. We investigate the possibility of a nonlinear causality mechanism through which mutual funds flows may affect stock returns and vice versa. The statistical evidence derived from linear and nonlinear causality tests indicate that there is indeed a bidirectional nonlinear causality between mutual fund flows and stock returns. We also detect a unidirectional causality from the Dow Jones Index to the domestic stock price index and the domestic mutual fund flows.

Keywords: Mutual fund flows; Stock returns; Linear and Nonlinear Granger Causality. (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Pages: 17 pages
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Citations: View citations in EconPapers (2)

Published in 5th Annual Conference of the Hellenic Finance and Accounting Association

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Persistent link: https://EconPapers.repec.org/RePEc:crt:wpaper:0824

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