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Nonlinear diachronic effects between stock returns and mutual fund flows: Additional empirical evidence from the Athens Stocks Exchange

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Author Info
Eleni Thanou Thanou () (Hellenic Open University)
Dikaios Tserkezos () (Department of Economics, University of Crete, Greece)
Abstract

This short paper examines the nonlinear interaction between mutual fund flows and stock returns in Greece. We investigate the possibility of a nonlinear causality mechanism through which mutual funds flows may affect stock returns and vice versa. The statistical evidence derived from linear and nonlinear causality tests indicate that there is indeed a bidirectional nonlinear causality between mutual fund flows and stock returns. We also detect a unidirectional causality from the Dow Jones Index to the domestic stock price index and the domestic mutual fund flows.

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File URL: http://economics.soc.uoc.gr/wpa/docs/Returns_trivar.pdf
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Publisher Info
Paper provided by University of Crete, Department of Economics in its series Working Papers with number 0826.

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Length: 17 pages
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Publication status: Published in 5th Annual Conference of the Hellenic Finance and Accounting Association
Handle: RePEc:crt:wpaper:0826

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Related research
Keywords: Mutual fund flows; Stock returns; Linear and Nonlinear Granger Causality.;

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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