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Nonlinear diachronic effects between stock returns and mutual fund flows: Additional empirical evidence from the Athens Stocks Exchange

Author

Listed:
  • Eleni Thanou Thanou

    (Hellenic Open University)

  • Dikaios Tserkezos

    (Department of Economics, University of Crete, Greece)

Abstract

This short paper examines the nonlinear interaction between mutual fund flows and stock returns in Greece. We investigate the possibility of a nonlinear causality mechanism through which mutual funds flows may affect stock returns and vice versa. The statistical evidence derived from linear and nonlinear causality tests indicate that there is indeed a bidirectional nonlinear causality between mutual fund flows and stock returns. We also detect a unidirectional causality from the Dow Jones Index to the domestic stock price index and the domestic mutual fund flows.

Suggested Citation

  • Eleni Thanou Thanou & Dikaios Tserkezos, "undated". "Nonlinear diachronic effects between stock returns and mutual fund flows: Additional empirical evidence from the Athens Stocks Exchange," Working Papers 0825, University of Crete, Department of Economics.
    • Handle: RePEc:crt:wpaper:0825
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    Citations

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    Cited by:

    1. Caroline Michere Ndei & Stephen Muchina & Kennedy Waweru, 2019. "Equity Unit Trust Funds Flow and Stock Market Returns: Evidence from Kenya," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 8(1), pages 21-36, January.
    2. Mehwish Aziz Khan & Eatzaz Ahmad, 2018. "Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan," Sustainability, MDPI, vol. 11(1), pages 1-20, December.

    More about this item

    Keywords

    Mutual fund flows; Stock returns; Linear and Nonlinear Granger Causality.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

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