| Summary: | 碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 97 === With the rapid financial innovations, the financial instruments are becoming more diversified than ever. Mutual funds have attracted a vast number of investors and have been the main source of capital input to stock market. The purpose of this study is to investigate whether the fund flow have an impact on the stock market returns.
This study uses the GJR-GARCH model, proposed by Glosten , Jannathan and Runle (1993) to discuss the relationships between mutual fund flow and the stock market returns. This study take the domestic stock funds and the stock market returns as the sample, and research period spans from January, 2001 to the end of December, 2008, to test Warther’s (1995) two hypotheses: first is feedback-trader hypothesis and second is price pressure hypothesis. The GARCH model results show that fund flow is significantly influenced by stock market returns, which support Wather''s first hypthesis; however, the result that the stock market returns are not affected the fund flow render no support to the second one.
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