Nonlinear diachronic effects between stock returns and mutual fund flows: Additional empirical evidence from the Athens Stocks Exchange
AbstractThis 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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Bibliographic InfoPaper provided by University of Crete, Department of Economics in its series Working Papers with number 0826.
Length: 17 pages
Date of creation:
Date of revision:
Publication status: Published in 5th Annual Conference of the Hellenic Finance and Accounting Association
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; Insider Trading
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