Aggregate net flows,inflows, and outflows of equity funds: The U.S. versus Japan |
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| Institution: | 1. Graduate School of Economics, Chonnam National University, South Korea;2. Wenlan School of Business, Zhongnan University of Economics and Law, China;1. Department of Finance, National Sun Yat-sen University, Kaohsiung, Taiwan, ROC;2. Department of Accounting Information, National Taichung University of Science and Technology, Taichung, Taiwan, ROC;3. Department of Risk Management and Insurance, Feng Chia University, Taichung, Taiwan, ROC;1. Business Department, University of Navarra, Pamplona, Spain;2. Financial Economics Department, University of Alicante, Spain;3. Monetary and Capital Market Department, International Monetary Fund, USA;1. Graduate School of Simulation Studies, University of Hyogo, Computational Science Center Building, 7-1-28 Minatojima-minamimachi, Chuo-Ku, Kobe, 650-0047, Japan;2. Institute of Innovation Research, Hitotsubashi University, 2-1 Naka, Kunitachi, Tokyo, 186-8603, Japan;3. Research Institute of Economy, Trade, and Industry, 1-3-1, Kasumigaseki Chiyoda-ku, Tokyo, 100-8901, Japan |
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| Abstract: | This paper investigates the aggregate cash inflows and outflows of domestic equity mutual funds as well as their net flows for the U.S. and Japan in an international context. The U.S. and Japan are two representative countries that have the largest and most developed fund markets in the Western world and Asia, respectively. For the purpose of analyzing dynamic relationships between market volatility, market return, and cash flow, this paper employs reduced-form and structural vector auto-regression (VAR) models. The analysis shows much different empirical findings between the U.S. and Japan, which can be explained by different culture and investment sentiments. |
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| Keywords: | Equity mutual fund Cash inflows Cash outflow Dynamic relationship |
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