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Title: Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique
Authors: Alexakis, Christos
Dasilas, Apostolos
Grose, Chris
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Finance
Issue Date: 2013
Source: International Review of Financial Analysis
Volume: 28
First Page: 1
Last Page: 8
Abstract: This paper examines “causality” effects between mutual fund flows and stock index prices in Japan. In particular, both the short and long run dynamics between stock prices and fund units are investigated. The novelty of our paper is the use of the hidden cointegration technique which attempts to capture heterogeneous fund flow reactions when stock index prices move up or down. Moreover, we employ the crouching error correction model (CECM) to assess the relationship between stock market movements and fund flow changes. The results show that stock prices and mutual fund units are cointegrated. In the case of positive movements there is a bi-directional effect interconnecting them, whereas for negative movements, causality runs only from fund flows to stock prices. The dynamics structure provides evidence that market microstructure, taxation and investors' sentiment affect stock price and unit formation.
ISSN: 1057-5219
Other Identifiers: 10.1016/j.irfa.2013.02.001
Appears in Collections:Department of Applied Informatics

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