An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility

被引：69
|
作者：
Cao, Charles [1 ,2 ]
Chang, Eric C. [3 ]
Wang, Ying [4 ]
机构：
[1] Penn State Univ, Smeal Sch Business, Dept Finance, University Pk, PA 16802 USA
[2] CCFR, Beijing, Peoples R China
[3] Univ Hong Kong, Sch Business, Hong Kong, Hong Kong, Peoples R China
[4] SUNY Albany, Sch Business, Dept Finance, Albany, NY 12222 USA
来源：
JOURNAL OF BANKING & FINANCE | 2008年 / 32卷 / 10期
关键词：
Mutual fund flow; Market volatility; Volatility timing; Fund inflow and fund outflow;
D O I：
10.1016/j.jbankfin.2007.12.035
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We study the dynamic relation between aggregate mutual fund flow and market-wide volatility. Using daily flow data and a VAR approach, we find that market volatility is negatively related to concurrent and lagged flow. A structural VAR impulse response analysis suggests that shock in flow has a negative impact on market volatility: An inflow (outflow) shock predicts a decline (an increase) in volatility. From the perspective of volatility-flow relation, we find evidence of volatility timing for recent period of 1998-2003. Finally, we document a differential impact of daily inflow versus outflow on intraday volatility. The relation between intraday volatility and inflow (outflow) becomes weaker (stronger) from morning to afternoon. (C) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：2111 / 2123
页数：13
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