Relationship between macroeconomic variables and net asset values (NAV) of equity funds: Cointegration evidence and vector error correction model of the Hong Kong Mandatory Provident Funds (MPFs)
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DOI: 10.1016/j.intfin.2011.06.003
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- Sasipa Pojanavatee, 2014. "Cointegration and causality analysis of dynamic linkage between stock market and equity mutual funds in Australia," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-17, December.
- 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.
- Luo Wang & Bin Li & Benjamin Liu, 2017. "Can Macroeconomic Variables Explain Managed Fund Returns? The Australian Case," Economic Papers, The Economic Society of Australia, vol. 36(2), pages 171-184, June.
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- Luo Wang & Bin Li & Rakesh Gupta & Jen-Je Su & Benjamin Liu, 2017. "Return Predictability in Australian Managed Funds," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 16(1), pages 1-19, June.
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Keywords
Pension fund; Unit root test; Cointegration analysis; Causality test;All these keywords.
JEL classification:
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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