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Aggregate net flows, inflows, and outflows of equity funds: The U.S. versus Japan

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  • Paek, Miyoun
  • Ko, Kwangsoo

Abstract

This paper investigates the aggregate cash inflows and outflows of domestic equity mutual funds as well as their net flows for the U.S. and Japan in an international context. The U.S. and Japan are two representative countries that have the largest and most developed fund markets in the Western world and Asia, respectively. For the purpose of analyzing dynamic relationships between market volatility, market return, and cash flow, this paper employs reduced-form and structural vector auto-regression (VAR) models. The analysis shows much different empirical findings between the U.S. and Japan, which can be explained by different culture and investment sentiments.

Suggested Citation

  • Paek, Miyoun & Ko, Kwangsoo, 2014. "Aggregate net flows, inflows, and outflows of equity funds: The U.S. versus Japan," Japan and the World Economy, Elsevier, vol. 32(C), pages 85-95.
  • Handle: RePEc:eee:japwor:v:32:y:2014:i:c:p:85-95
    DOI: 10.1016/j.japwor.2014.08.001
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    Keywords

    Equity mutual fund; Cash inflows; Cash outflow; Dynamic relationship;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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