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International Mutual Fund Flows and Regional Stock Markets
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국제 뮤추얼 펀드의 현금흐름과 지역 주식시장

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Type
Academic journal
Author
Journal
The Korean Data Analysis Society Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제21권 제4호 KCI Accredited Journals
Published
2019.1
Pages
1,917 - 1,927 (11page)

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International Mutual Fund Flows and Regional Stock Markets
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This study examines the effect of US and regional stock market returns on net cash flows of international mutual funds. This study employs a vector autoregressive model with US stock returns, regional stock returns, net flows of international mutual funds, by making regional portfolio of mutual funds according to four international regions, i.e. emerging market, Europe, Latin America, and Pacific region. The main findings are as follows. First, both US and regional returns have a positive impact on corresponding net cash flows, either simultaneously or with lags. Second, when this study decomposes the variance of net flows, regional returns have more explanatory power than US returns. Especially, in Latin America, the explanatory power of regional returns is considerably large, about 24%. Third, the own lagged variable of net flows is the most important factor for explaining their behavior. 68-92% of net flows are explained by their lagged variable according to the region. Naturally, the results of impulse-response analysis show that own shock rather than both US and regional stock returns have a much greater impact on net cash flows. This finding is consistent with that of previous studies that investigate the US domestic markets and shows that the own shock of het flows persist for three to five months.
#international mutual fund #return #regional stock market #net flow #VAR.

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References (14)

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Bekaert, G. / 2002 / The dynamics of emerging market equity flows / Journal of International Money and Finance 21:295~350 google schola Ben-Rephael, A. / 2011 / The price pressure of aggregate mutual fund flows / Journal of Financial and Quantitative Analysis 46(2):585~603 google schola Bodurtha, J. / 1995 / Closed-end country funds and U.S. market sentiment / Review of Financial Studies 8(3):879~918 google schola Bohn, H. / 1986 / U.S. Equity investment in foreign markets: Portfolio rebalancing or return chasing? / American Economic Review Papers and Proceedings 86:77~81 google schola Brennan, M. / 1997 / International portfolio investment flows / Journal of Finance 52:1851~1880 google schola

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