The Interaction of Mutual Fund Flows and Stock Returns: Evidence From The Turkish Capital Market

Aydoğan, Berna; Vardar, Gülin; Tunç, Gökçe

doi:10.21121/eab.2014218048

Cited by 7 publications

(6 citation statements)

References 22 publications

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“…Meanwhile, in the context of Greece capital market, studies by Caporale et al (2004) and Alexakis et al (2005) find that there is a bidirectional causal relation between mutual fund flows and stock returns. A study by Aydogan et al (2014) reveals similar finding on Turkish capital market. Ben-Rephael et al (2011) on the other hand reveal that lagged returns do not have an impact on mutual fund flows.…”

Section: Literature Reviewsupporting

confidence: 66%

Return, Volatility and Equity Fund Flows Linkages: Evidence from an Emerging Market

Sapian¹,

Lee²

2018

IJARBSS

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This study examines the dynamic linkages among market return, market volatility, and equity fund flows of institutional and retail investors both foreign and local into Malaysian Stock Exchange, Bursa Malaysia. Using a total of 1661 daily observations of aggregate trade data for a period from 1 st October 2009 to 30 th June 2016, this study finds that market return has an effect on buy trades of local investors, sell trades of foreign institutions and local retailer as well as net flows of foreign institutions and retailers. On the equity flows-market return relation, the finding shows that the buy trades of foreign retail investors, net flows of foreign institutions and foreign retailers affect market return. This study also provide evidence that market volatility is significantly impact foreign institutional investors buy trades as well as local retailer net flows of equity. Furthermore, this study reveal that there are insignificant results for the equity flows-market volatility relation. The findings of this study is crucial and will benefit most to portfolio fund managers, traders, foreign and local investors dealing with Bursa Malaysia.

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Section: Literature Reviewsupporting

confidence: 66%

Return, Volatility and Equity Fund Flows Linkages: Evidence from an Emerging Market

Sapian¹,

Lee²

2018

IJARBSS

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“…Some researchers provide support for multiple hypotheses (Yangbo et al 2010;Aydoğan Vardar, and Tunç 2014). The study of Yangbo et al (2010) provide evidence that support the existence of positive and significant impact of aggregate equity mutual fund flows on excess stock market returns in both Hong Kong and Singapore, which provide support for the Information Hypothesis.…”

Section: Review Of Literaturementioning

confidence: 97%

“…The attractiveness of mutual funds results from its high liquidity, diversified investment opportunities, professional asset management, and low management cost. The high growth of mutual funds attracted researchers to analyze the drivers behind the fund's capital flows and its impact on stock market returns (Latief and Shah 2014;Aydoğan, Vardar, and Tunç 2014). In the context of Saudi Arabia, the Saudi stock market witnessed in recent years high growth and development in its regularity framework.…”

Section: Introductionmentioning

confidence: 99%

REITS In The Saudi Stock Market And The Impact Of Covid-19 Crisis

Alhussayen¹

2022

IJBMS

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This paper analyses the relationship between REITs trading volume, REITs returns and stock market returns over the period starting end of 2016 till mid of 2022. The results of VAR test and Granger causality test, for the whole sample, support the Return Chasing Hypothesis (RCH). Investors in REITs, in the Saudi stock market, rely in their investment decisions on REITs previous returns. Their low informativeness regarding REITs drive them to chase its returns. Splitting the sample into pre and post COVID-19 crisis periods don’t provide support for neither the RCH nor the Information Hypothesis (IH). More informed, institutional, investors are attracted to invest in the stock market due to the major developments that occur in the Saudi stock exchange (TADAWUL) after the crisis. This had reduced the return chasing behavior of investors in the market, but still the informational and stabilizing role of institutional investors is not attained.

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“…Others support negative and on the extreme end are those that show non-relationship between foreign portfolio ows and exchange rate. Moreover, scarce ndings on Granger causality indicate evidence for theories such as investor base-broadening hypothesis (Warther, 1995) and feedback (Aydogan et al, 2014) trading among others. The reviewed body of literature shows no evidence of use of hybrid of vector autoregressive model, EGARCH model, Granger causality, impulse response functions and variance decomposition jointly to examine the variables under study.…”

Section: Related Literaturementioning

confidence: 99%

The Dynamics of Foreign Portfolio Investment, Equities Market Volatility and Exchange Rate in Zimbabwe

Mushaike

Mavodyo

2022

Preprint

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In recent years, the amount of foreign equity investment inflows in Zimbabwe has decreased against the backdrop of an unstable and rapidly appreciating local currency. The aim of the study was to reveal the nexus among foreign portfolio investment, stock market performance and exchange rate in Zimbabwe from October 2018 to April 2022. The research utilized a package of hybrid multi-equation models including, vector autoregressive system to capture feedback relationships, EGARCH to incorporate asymmetric and volatility effects on stock performance and Granger causality to capture cause and effect dynamics. Impulse response functions and variance decompositions were employed to capture responses and innovations in the VAR system. Results revealed presence of short-lived volatility (implied risk) persistence, positive link between lagged market returns and foreign portfolio investment, inverse link between volatility of market returns and net foreign equity flows. On Granger causality, triangular linkages were revealed with unilateral causality emanating from foreign portfolio investment to stock market volatility (implied risk) to foreign portfolio investment volatility. Thus, it may be concluded that stock market volatility attenuated the relationship between foreign portfolio investment volatility and that relationship. Consequently, the study's empirical results has various policy ramifications. The investment community is recommended to buy assets at deep discounts and keep them for long-term wealth maximization in order to capitalize on the ZSE's transient volatility. In terms of policy recommendations, the Ministry of Finance is urged to reduce the withholding tax and capital gains tax on long-term stock and debt investors on the Zimbabwe Stock Exchange.

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The Interaction of Mutual Fund Flows and Stock Returns: Evidence From The Turkish Capital Market

Cited by 7 publications

References 22 publications

Return, Volatility and Equity Fund Flows Linkages: Evidence from an Emerging Market

Return, Volatility and Equity Fund Flows Linkages: Evidence from an Emerging Market

REITS In The Saudi Stock Market And The Impact Of Covid-19 Crisis

The Dynamics of Foreign Portfolio Investment, Equities Market Volatility and Exchange Rate in Zimbabwe

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