The dynamic relationship between aggregate fund flows and share market returns: Empirical evidence from BRIC

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00108770" target="_blank" >RIV/00216224:14560/17:00108770 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
The dynamic relationship between aggregate fund flows and share market returns: Empirical evidence from BRIC
Original language description
Already for more than twenty years investigation of dynamic relationship between aggregate fund flows and share returns represents considerable interest for both practitioners and academicians. The former may use such investigation as useful aid for volatility timing for their investment portfolios; the latter may use such evidence as a proof of efficient market hypothesis violation, which, if found, will have far-reaching implications for the theory of finance. In this paper we aim to investigate the dynamic bidirectional interaction between aggregate fund flows and excess share market returns in a group of emerging BRIC economies. Particularly, we investigate the possibility of a causality mechanism through which aggregate domestic equity fund flows may affect local excess share market returns and vice versa in short-term and long-term period by means of Engle-Granger causality test and VECM.
Czech name
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Czech description
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Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
European Financial Systems 2017. Proceedings of the 14th International Scientific Conference
ISBN
9788021086098
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
466-474
Publisher name
Masaryk University
Place of publication
Brno
Event location
Brno
Event date
Jan 1, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000418110700057

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