Stock returns and investment trust flows in the Japanese financial market: A system approach
AbstractTo study dynamic and causal relations between stock returns and investment trust flows in Japan, we employ a system method which utilizes information from the stock, bond, and money markets. The empirical evidence from SURECM, and Granger (1969) and Sims (1972) causality tests in the system method indicates that investment trust flows are weakly exogenous and stock returns cause net fund flows, implying that investors move their money to the securities that yield higher returns to rebalance their investment portfolios in the short-run. Thus, our findings do not support the popular notion of mutual fund flows as a driving force behind rallies in Japanese financial markets.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Asian Economics.
Volume (Year): 21 (2010)
Issue (Month): 4 (August)
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Web page: http://www.elsevier.com/locate/asieco
Stock returns Investment trust flows Granger causality Cointegration SURECM;
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