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Return, Volatility And Fund Flows Linkages: Malaysian Evidence

Author

Listed:
  • Yue Meinn GOH

    (National University of Malaysia)

  • Ros Zam Zam SAPIAN

    (National University of Malaysia)

Abstract

This study examines the relationship between market return and market volatility; and fund flows of equity and vice versa. Using daily aggregate data of equity fund flows, institutional and retail both local and foreign, this study finds that market return has a negative correlation with net equity flows except that of net equity flows of foreign institutions. Market volatility, on the other hand, has a positive correlation with net equity flows of local investors both institutional and retail whilst a negative correlation with net equity flows of foreign investors, also both institutional and retail. Additionally, there is a unidirectional relationship running from both market return and market volatility to net equity flows. This is especially evident for trades of foreign institutional investors. Equity fund flows are neither affect market return nor market volatility.

Suggested Citation

  • Yue Meinn GOH & Ros Zam Zam SAPIAN, 2017. "Return, Volatility And Fund Flows Linkages: Malaysian Evidence," Management and Marketing Journal, University of Craiova, Faculty of Economics and Business Administration, vol. 0(2), pages 59-69, November.
    • Handle: RePEc:aio:manmar:v:xv:y:2017:i:2:p:59-69
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    References listed on IDEAS

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    Cited by:

    1. Saif Siddiqui & Preeti Roy, 2021. "Asymmetric Effects of Exchange Rate and Its Relationship with Foreign Investments: A Case of Indian Stock Market," Vision, , vol. 25(4), pages 415-427, December.

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    More about this item

    Keywords

    Market return; market volatility; equity fund flows; institutional and retail investors;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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