The Influence of Stock Market Volatility Index on Mutual Fund Flows

• Main Authors: Ke-hsin Hsiao, 蕭可欣
• Other Authors: Andy Chien
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/03338003037366315251

碩士 === 國立高雄第一科技大學 === 金融研究所 === 101 === CBOE’s Market Volatility Index or “VIX”, for short, which is used to measure the expected future stock market volatility, is often referred to as the “fear index.” The VIX will typically rise when the S&P500 index drops and fall when the market rises. In this paper, we study the impact of stock market volatility expectations (including VIX and TVIX) on flows of Taiwan’s Stock mutual funds. We find that aggregate net equity fund flows are negatively correlated with the volatility (VIX). Also, we find that aggregate net equity fund flows and the fund flow ratio are almost positively correlated with the fund returns. Furthermore, we find that the aggregate net flows and the fund returns do not have the nonlinear performance-flow relationship. However, we find that the purchase and the redemption both increase when the fund returns are in the upper half group. Besides, we find that the unexpected concurrent flow, flow ratio and purchase are all positively correlated with the concurrent fund returns while the expected concurrent redemption is negatively correlated with the concurrent fund returns.