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Nonlinear Diachronic Effects Between Stock Returns and Mutual Fund Flows: Additional Empirical Evidence from the Athens Stocks Exchange

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  • Eleni Thanou
  • Dikaios Tserkezos

    (Department of Economics, University of Crete, Greece)

Abstract

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Suggested Citation

  • 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.
    • Handle: RePEc:crt:wpaper:0826
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    References listed on IDEAS

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    2. 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.
    3. Guglielmo Maria Caporale & Nikolaos Philippas & Nikitas Pittis, 2004. "Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 981-989.
    4. 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.
    5. Nikolaos T. Milonas & Stavros B. Thomadakis, 1997. "Convenience yields as call options: An empirical analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(1), pages 1-15, February.
    6. 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.
    7. 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.
    8. 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.
    9. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    10. 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.
    11. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
    12. Hiemstra, Craig & Jones, Jonathan D, 1994. "Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation," Journal of Finance, American Finance Association, vol. 49(5), pages 1639-1664, December.
    13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    14. 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.
    15. Roger Perman, 1991. "Cointegration: An Introduction to the Literature," Journal of Economic Studies, Emerald Group Publishing, vol. 18(3), pages 3-30, September.
    16. Milonas, Nikolaos T & Thomadakis, Stavros B, 1997. "Convenience Yield and the Option to Liquidate for Commodities with a Crop Cycle," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 24(2), pages 267-283.
    17. Hsiao, Cheng, 1981. "Autoregressive modelling and money-income causality detection," Journal of Monetary Economics, Elsevier, vol. 7(1), pages 85-106.
    18. 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.
    19. David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988. "What Moves Stock Prices?," Working papers 487, Massachusetts Institute of Technology (MIT), Department of Economics.
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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.

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    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

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