Nonlinear diachronic effects between stock returns and mutual fund flows: Additional empirical evidence from the Athens Stocks Exchange
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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|Publication status:||Published in 5th Annual Conference of the Hellenic Finance and Accounting Association|
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