Article ID Journal Published Year Pages File Type
5087438 Journal of Asian Economics 2010 6 Pages PDF
Abstract
To study dynamic and causal relations between stock returns and investment trust flows in Japan, we employ a system method which utilizes information from the stock, bond, and money markets. The empirical evidence from SURECM, and Granger (1969) and Sims (1972) causality tests in the system method indicates that investment trust flows are weakly exogenous and stock returns cause net fund flows, implying that investors move their money to the securities that yield higher returns to rebalance their investment portfolios in the short-run. Thus, our findings do not support the popular notion of mutual fund flows as a driving force behind rallies in Japanese financial markets.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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