An Empirical Study of the Relationship between Mutual Fund Flows and Stock Market Returns in Taiwan

• Main Authors: Hung-che Yen, 顏宏哲
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/82039930771094021792

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 99 === This paper investigates the interrelationship between the aggregate mutual fund flows and the security market returns by utilizing Regression Analysis, Vector Autoregressive Model, Granger Causality Test and the Impulse Response Analysis, and also verifying the two hypotheses that proposed by Wather (1995): 1.feedback-trader hypothesis 2.price pressures hypothesis. The empirical results indicate that: 1.The mutual fund flows are affected by the stock market returns, and the stock market returns also affected by the mutual fund flows. The results support both the feedback-trader hypothesis and price pressures hypothesis. 2.There is no evidence of Granger causality between the stock market returns and the mutual fund flows. 3.The interactive influence between the mutual fund flows and the stock market returns is volatile rather than sustained. Any impact that disturbs the equilibrium between the mutual fund flows and the stock market returns will soon be converged. The affection of the impact will drop rapidly in the next period and disappears in a short time.