Equity fund flows, market returns, and market risk evidence from China

we examine contemporaneous and dynamic relationship among equity fund flows, market returns, and market risk in China by applying structural vector autoregression (SVAR) and reduced-form VAR models using monthly and quarterly data over the period of 2005–2016. Results from the reduced-form VAR sugge...

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Published inRisk management (Leicestershire, England) Vol. 21; no. 1; pp. 48 - 71
Main Authors Qureshi, Fiza, Kutan, Ali M., Khan, Habib Hussain, Qureshi, Saba
Format Journal Article
LanguageEnglish
Published London Springer Science + Business Media 01.03.2019
Palgrave Macmillan UK
Palgrave Macmillan
Subjects
Economic conditions
Economic models
Economics and Finance
Equity
Equity funds
Finance
Funds
Markets
Mutual funds
ORIGINAL ARTICLE
Return on investment
Risk
Risk Management
Securities markets
Trading
China
Stock market volatility
Equity fund flows
Stock returns
China
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Abstract we examine contemporaneous and dynamic relationship among equity fund flows, market returns, and market risk in China by applying structural vector autoregression (SVAR) and reduced-form VAR models using monthly and quarterly data over the period of 2005–2016. Results from the reduced-form VAR suggest that equity funds can play important role in reducing market risk by actively participating in the equity market. Moreover, adverse market conditions can cause equity funds to refrain from active participation in trading activities. The results from the structural VAR show that market risk and stock returns are contemporaneously related to fund flows, suggesting that concurrent relationships are important in studying the linkages between aggregate equity fund flows and stock market variables. We also discuss the policy implications of findings in the context of recent downturn in the Chinese stock market.
AbstractList we examine contemporaneous and dynamic relationship among equity fund flows, market returns, and market risk in China by applying structural vector autoregression (SVAR) and reduced-form VAR models using monthly and quarterly data over the period of 2005–2016. Results from the reduced-form VAR suggest that equity funds can play important role in reducing market risk by actively participating in the equity market. Moreover, adverse market conditions can cause equity funds to refrain from active participation in trading activities. The results from the structural VAR show that market risk and stock returns are contemporaneously related to fund flows, suggesting that concurrent relationships are important in studying the linkages between aggregate equity fund flows and stock market variables. We also discuss the policy implications of findings in the context of recent downturn in the Chinese stock market.
Author Qureshi, Saba
Khan, Habib Hussain
Qureshi, Fiza
Kutan, Ali M.
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Keywords Stock market volatility
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China
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Snippet we examine contemporaneous and dynamic relationship among equity fund flows, market returns, and market risk in China by applying structural vector...
We examine contemporaneous and dynamic relationship among equity fund flows, market returns, and market risk in China by applying structural vector...
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StartPage 48
SubjectTerms Economic conditions
Economic models
Economics and Finance
Equity
Equity funds
Finance
Funds
Markets
Mutual funds
ORIGINAL ARTICLE
Return on investment
Risk
Risk Management
Securities markets
Trading
Subtitle evidence from China
Title Equity fund flows, market returns, and market risk
URI https://www.jstor.org/stable/48704563
https://link.springer.com/article/10.1057/s41283-018-0042-3
https://www.proquest.com/docview/2177399580/abstract/
Volume 21
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