Aggregate Equity Fund Flows and the Stock Market

34 Pages Posted: 24 Jul 2004

Date Written: March 15, 2004

Abstract

We document the first empirical evidence on aggregate equity fund flows determinants for the European fund industry. Changes in the long-term interest rate, market returns and fund performance are significant determinants. Furthermore, we profoundly analyze the interrelationship between aggregate flows and equity markets. Contrary to U.S. evidence, we fail to find a significant contemporaneous relationship. Based on extended Granger causality tests we confirm that fund flows have no information content for the stock market. In contrast, market returns Granger cause equity fund flows. Finally, we find that the effect of return shocks die out within the first 12 months.

Keywords: Equity funds, aggregate fund flows, aggregate demand curve, information content, Granger causality

Suggested Citation

Van Campenhout, Geert, Aggregate Equity Fund Flows and the Stock Market (March 15, 2004). EFA 2004 Maastricht Meetings Paper No. 3900. Available at SSRN: https://ssrn.com/abstract=567646 or http://dx.doi.org/10.2139/ssrn.567646

Geert Van Campenhout (Contact Author)

KU Leuven - FEB@HUBrussel ( email )

Warmoesberg 26
Brussel, 1000
Belgium

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