This paper investigates the relation between international mutual fund flow and
local/home market returns following Warther (1995) and Froot, O’Connell and
Seasholes (2001). Like the U.S. domestic results, the concurrent local market
return is found to be very important to explain the international mutual fund flow
rather than the home market return. The concurrent relation between the local
return and the international mutual fund flow could be explained by information
hypothesis rather than price pressure effect in the context of international mutual
funds. Furthermore, the lagged local market returns do not have any significant
effect on the flow, which implies that there does not exist any positive feedback
trading. Interestingly, the coefficients of the lagged exchange rates for Japan-
related funds are negative and statistically significant. That could be called a
positive feedback trading from the viewpoint of the exchange rate. Last, the U.S.
market factor is not statistically significant for explaining the international
mutual fund flow, but for the local return after controlling for the effects of the
expected and unexpected fund flows
학술대회/행사
학술대회안내
[2003년 제 2차] International Mutual Fund Flow and Local Markets:Th
작성자 : 관리자
조회수 : 1019
게시일 :
2003-07-12
첨부파일