[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/eee/finana/v14y2005i5p559-569.html
   My bibliography  Save this article

The dynamics between stock returns and mutual fund flows: empirical evidence from the Greek market

Author

Listed:
  • Alexakis, Christos
  • Niarchos, Nikitas
  • Patra, Theopfano
  • Poshakwale, Sunil
Abstract
No abstract is available for this item.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:finana:v:14:y:2005:i:5:p:559-569
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1057-5219(04)00118-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    2. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    3. 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.
    4. Lee, Charles M C & Shleifer, Andrei & Thaler, Richard H, 1991. "Investor Sentiment and the Closed-End Fund Puzzle," Journal of Finance, American Finance Association, vol. 46(1), pages 75-109, March.
    5. 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 379-395, June.
    6. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    7. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    9. Peter Fortune, 1998. "Mutual funds, part II: fund flows and security returns," New England Economic Review, Federal Reserve Bank of Boston, issue Jan, pages 3-22.
    10. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    11. Roger Perman, 1991. "Cointegration: An Introduction to the Literature," Journal of Economic Studies, Emerald Group Publishing, vol. 18(3), pages 3-30, September.
    12. 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.
    13. Warther, Vincent A., 1995. "Aggregate mutual fund flows and security returns," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 209-235.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. P.K. Mishra, 2011. "Dynamics of the Relationship between Mutual Funds Investment Flow and Stock Market Returns in India," Vision, , vol. 15(1), pages 31-40, March.
    2. Narayan, Paresh Kumar & Narayan, Seema & K.P, Prabheesh, 2014. "Stock returns, mutual fund flows and spillover shocks," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 146-162.
    3. Md. Shahadath Hossain & A.B.M. Munibur Rahman & Md. Salah Uddin Rajib, 2013. "Dynamics of Mutual Funds in Relation to Stock Market: A Vector Autoregressive Causality Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 191-201.
    4. Ros Zam Zam Sapian & Jing Quan Lee, 2018. "Return, Volatility and Equity Fund Flows Linkages: Evidence from an Emerging Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 8(7), pages 172-186, July.
    5. Nicolescu Luminiţa & Tudorache Florentin Gabriel, 2018. "Romania, Slovakia and Hungary: evolution of mutual funds in recent years," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 12(1), pages 695-710, May.
    6. Drobetz, Wolfgang & Kugler, Peter & Wanzenried, Gabrielle & Zimmermann, Heinz, 2009. "Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 84-93, March.
    7. Cajueiro, Daniel O. & Gogas, Periklis & Tabak, Benjamin M., 2009. "Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 50-57, March.
    8. Antonakakis, Nikolaos & Chang, Tsangyao & Cunado, Juncal & Gupta, Rangan, 2018. "The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis," Finance Research Letters, Elsevier, vol. 24(C), pages 1-9.
    9. Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo, 2021. "Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis," Empirical Economics, Springer, vol. 60(2), pages 539-555, February.
    10. Kim, Sei-Wan & Lee, Bong-Soo & Kim, Young-Min, 2014. "Who mimics whom in the equity fund market? Evidence from the Korean equity fund market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 199-218.
    11. Nam, Seung Oh & Oh, SeungYoung & Kim, Hyun Kyung, 2008. "The time difference effect of a measurement unit in the lead-lag relationship analysis of Korean financial market," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 259-273.
    12. Elias Bengtsson, 2009. "European investment fund flows and financial stability," Journal of Asset Management, Palgrave Macmillan, vol. 10(5), pages 293-304, December.
    13. Alexakis, Christos & Dasilas, Apostolos & Grose, Chris, 2013. "Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 1-8.
    14. Sei‐Wan Kim & Namwon Hyung, 2024. "Different demands for almost the same assets? Demographic structure's different effect on direct and indirect equity purchase," International Review of Finance, International Review of Finance Ltd., vol. 24(1), pages 104-127, March.
    15. Naik, Pramod Kumar & Padhi, Puja, 2014. "An Empirical Evidence of Dynamic Interaction between institutional fund flows and Stock Market Returns," MPRA Paper 57723, University Library of Munich, Germany.
    16. Kim, Sei-Wan & Lee, Bong-Soo & Kim, Young-Min, 2019. "Early 60s is not old enough: Evidence from twenty-one countries’ equity fund markets," Journal of International Money and Finance, Elsevier, vol. 92(C), pages 62-74.
    17. Lee, Bong Soo & Paek, Miyoun & Ha, Yeonjeong & Ko, Kwangsoo, 2015. "The dynamics of market volatility, market return, and equity fund flow: International evidence," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 214-227.
    18. Wu, Yujia & Lan, Wei & Fan, Xinyan & Fang, Kuangnan, 2024. "Bipartite network influence analysis of a two-mode network," Journal of Econometrics, Elsevier, vol. 239(2).
    19. Tudorache F. & Nicolescu L. & Belascu L., 2016. "The performance of mutual funds in Slovakia," Bulletin of Taras Shevchenko National University of Kyiv. Economics. Вісник Киiвського нацiонального унiверситету iм. Тараса Шевченка. Серiя: Економiка, CyberLeninka;Издательско-полиграфический центр «Киевский университет», issue 11 (188), pages 26-33.
    20. Qureshi, Fiza & Kutan, Ali M. & Ghafoor, Abdul & Hussain Khan, Habib & Qureshi, Zeeshan, 2019. "Dynamics of mutual funds and stock markets in Asian developing economies," Journal of Asian Economics, Elsevier, vol. 65(C).
    21. Eleni Thanou & Dikaios Tserkezos, 2008. "Nonlinear Diachronic Effects Between Stock Returns and Mutual Fund Flows: Additional Empirical Evidence from the Athens Stocks Exchange," Working Papers 0826, University of Crete, Department of Economics.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Eleni Thanou & Dikaios Tserkezos, 2008. "Nonlinear Diachronic Effects Between Stock Returns and Mutual Fund Flows: Additional Empirical Evidence from the Athens Stocks Exchange," Working Papers 0826, University of Crete, Department of Economics.
    2. Drakos, Konstantinos & Kutan, Ali M., 2001. "Opposites attract: The case of Greek and Turkish financial markets," ZEI Working Papers B 06-2001, University of Bonn, ZEI - Center for European Integration Studies.
    3. Bashiri Behmiri, Niaz & Pires Manso, José R., 2012. "Does Portuguese economy support crude oil conservation hypothesis?," Energy Policy, Elsevier, vol. 45(C), pages 628-634.
    4. Ramona Dumitriu & Razvan Stefanescu, 2015. "The Relationship Between Romanian Exports And Economic Growth After The Adhesion To European Union," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 17-26.
    5. Catherine Bruneau & Eric Jondeau, 1999. "Long‐run Causality, with an Application to International Links Between Long‐term Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 545-568, November.
    6. Muhammad Omer & Omar Farooq Saqib, 2009. "Monetary Targeting in Pakistan: A Skeptical Note," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 5, pages 53-81.
    7. John L. Glascock & Wikrom Prombutr & Ying Zhang & Tingyu Zhou, 2018. "Can Investors Hold More Real Estate? Evidence from Statistical Properties of Listed REIT versus Non-REIT Property Companies in the U.S," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 274-302, February.
    8. Fur, Eric Le, 2021. "Fine Wines in a Diversified Portfolio of Collectibles," 2021 Conference, August 17-31, 2021, Virtual 315852, International Association of Agricultural Economists.
    9. Naser, Hanan, 2014. "On the cointegration and causality between Oil market, Nuclear Energy Consumption, and Economic Growth: Evidence from Developed Countries," MPRA Paper 65252, University Library of Munich, Germany, revised 25 Mar 2015.
    10. Watson, John & Wickramanayake, J., 2012. "The relationship between aggregate managed fund flows and share market returns in Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 451-472.
    11. Vanegas Sr., Manuel & Croes, Robertico, 2007. "Tourism, Economic Expansion and Poverty in Nicaragua: Investigating Cointegration and Causal Relations," Staff Papers 7306, University of Minnesota, Department of Applied Economics.
    12. Rahman, Mohammad Chhiddikur, 2020. "Welfare Impact of Asymmetric Price Transmission on Bangladesh Rice Consumers," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 242248, September.
    13. Harb, Nasri & Al-Awad, Mouawiya, 2005. "Financial Development and Economic Growth in the Middle East," MPRA Paper 13605, University Library of Munich, Germany.
    14. Wang, Yudong & Wu, Chongfeng, 2012. "Energy prices and exchange rates of the U.S. dollar: Further evidence from linear and nonlinear causality analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2289-2297.
    15. Hakkı Kutay Bolkol, 2015. "Causal Relationship between Construction Production and GDP in Turkey," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 4(3), pages 42-53, July.
    16. Ming-Shiun Pan & Kam C. Chan & David J. Wright, 2001. "Divergent Expectations And The Asian Financial Crisis Of 1997," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 219-238, June.
    17. Manuel J. Rocha Armada & Joao Leitao & Júlio Lobao, 2011. "The Contagion Effects of Financial Crisis on Stock Markets: What Can We Learn From a Cointegrated Vector Autoregressive Approach for Developed Countries?," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 6(1), pages 29-53, Julio-Dic.
    18. Ramya Rajajagadeesan Aroul & Peggy E. Swanson, 2018. "Linkages Between the Foreign Exchange Markets of BRIC Countries—Brazil, Russia, India and China—and the USA," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3), pages 333-353, December.
    19. Tang, Chor Foon, 2008. "Is inflation always a monetary phenomenon in Malaysia?," MPRA Paper 19778, University Library of Munich, Germany.
    20. Czujack, Corinna & Flôres Junior, Renato Galvão & Ginsburgh, Victor, 1995. "On long-run price comovements between paintings and prints," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 269, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:14:y:2005:i:5:p:559-569. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.