Cointegration and causality analysis of dynamic linkage between stock market and equity mutual funds in Australia
The existing literature finds conflicting results on the magnitude of price linkages between equity mutual funds and the stock market. The study contends that in an optimal lagged model, the expectations of future prices using knowledge of past price behaviour in a particular equity mutual fund cate...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2014-12-01
|
| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/23322039.2014.918855 |