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.
|Date of creation:|
|Publication status:||Published in 5th Annual Conference of the Hellenic Finance and Accounting Association|
|Contact details of provider:|| Postal: Gallos - Rethymno 74100|
Phone: +30 831 77405
Fax: +30 831 77406
Web page: http://economics.soc.uoc.gr/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989.
"Positive Feedback Investment Strategies and Destabilizing Rational Speculation,"
NBER Working Papers
2880, National Bureau of Economic Research, Inc.
- De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June.
- De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Scholarly Articles 27693805, Harvard University Department of Economics.
- Alexakis, Christos & Niarchos, Nikitas & Patra, Theopfano & Poshakwale, Sunil, 2005. "The dynamics between stock returns and mutual fund flows: empirical evidence from the Greek market," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 559-569.
- Nikolaos T. Milonas & Stavros B. Thomadakis, 1997. "Convenience yields as call options: An empirical analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(1), pages 1-15, 02.
- Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
- Roger Perman, 1991. "Cointegration: An Introduction to the Literature," Journal of Economic Studies, Emerald Group Publishing, vol. 18(3), pages 3-30, September.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Ippolito, Richard A, 1992. "Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry," Journal of Law and Economics, University of Chicago Press, vol. 35(1), pages 45-70, April.
- David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988.
"What Moves Stock Prices?,"
487, Massachusetts Institute of Technology (MIT), Department of Economics.
- Hsiao, Cheng, 1981. "Autoregressive modelling and money-income causality detection," Journal of Monetary Economics, Elsevier, vol. 7(1), pages 85-106.
- Alexakis, Panayotis & Petrakis, Panayotis, 1991. "Analysing stock market behaviour in a small capital market," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 471-483, June.
- Nikitas Niarchos & Christos Alexakis, 1998. "Stock market prices, 'causality' and efficiency: evidence from the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 167-174.
- Guglielmo Maria Caporale & Nikolaos Philippas & Nikitas Pittis, 2004. "Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 981-989.
- Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
When requesting a correction, please mention this item's handle: RePEc:crt:wpaper:0826. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kostis Pigounakis)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.