English, Article, Journal or magazine article edition: Nonlinear diachronic effects between stock returns and mutual fund flows: Additional empirical evidence from the Athens Stocks Exchange Eleni Thanou Thanou; Dikaios Tserkezos

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Bookmark: http://trove.nla.gov.au/version/77171
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Nonlinear diachronic effects between stock returns and mutual fund flows: Additional empirical evidence from the Athens Stocks Exchange
Author
  • Eleni Thanou Thanou
  • Dikaios Tserkezos
Physical Description
  • preprint
Notes
  • This short paper examines the nonlinear interaction between mutual fund flows and stock returns in Greece. We investigate the possibility of a nonlinear causality mechanism through which mutual funds flows may affect stock returns and vice versa. The statistical evidence derived from linear and nonlinear causality tests indicate that there is indeed a bidirectional nonlinear causality between mutual fund flows and stock returns. We also detect a unidirectional causality from the Dow Jones Index to the domestic stock price index and the domestic mutual fund flows.
  • Mutual fund flows; Stock returns; Linear and Nonlinear Granger Causality.
  • RePEc:crt:wpaper:0826
Language
  • English
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