Article ID Journal Published Year Pages File Type
5084990 International Review of Financial Analysis 2013 8 Pages PDF
Abstract
► Investigation of dynamics between mutual fund flows and stock prices in Japan ► Use of hidden cointegration technique ► Stock prices and mutual fund units in Japan are found to be cointegrated. ► “Causalities” are found between fund flows to stock prices. ► Market microstructure, taxation and investors' sentiment may explain the results.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique
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