| Summary: | 碩士 === 國立高雄應用科技大學 === 商務經營研究所 === 95 === This research adopts Granger causality, VAR, and GARCH model to analyze the relation between domestic stock market returns and stock mutual fund flows by using the data of monthly domestic stock market returns and stock mutual fund flows. The study also uses these methods to test feedback trader hypothesis and price pressure hypothesis which were proposed by Warther (1995). In addition, this study compares the empirical results by these methods.
The empirical results are as follow: Granger causality test shows us only the mutual fund flows concentrated from abroad are affected by the stock market returns, and the stock market returns are not affected by different kinds of stock mutual fund flows. VAR shows us that different kinds of stock mutual fund flows are not affected by the stock maeket, and the stock market returns are not affected by different kinds of stock mutual fund flows. The result of GARCH analysis shows us the relationship between the stock market returns and the total mutual fund flows are significantly negative and the stock market returns are not affected by different kinds of stock mutual fund flows. The empirical results that use the data of monthly do not support the feedback trader hypothesis and price pressure hypothesis, proposed by Warther (1995). If the researchers use the data of dately or weekly, the Warther’s (1995) hypothesis maybe can be supported.
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