This paper investigates the effect of monetary policies, mainly proxied by interest rate changes, on the relationship between advertising and subsequent net cash flows for Taiwan's mutual fund industry. Based on a comprehensive mutual fund dataset and allowing for a precise estimation of fund inflows and outflows, we find that there is a positive advertisingcash flow relation under different macroeconomic conditions. Taking into account a change in the interest rate, we document that the positive relationship between the two only exists when the interest rate is at a relatively low level regardless of restrictive and expansionary periods. Our empirical findings shed new light on marketing strategies whereby mutual fund advertising works well during relatively low interest rate environments, which are generally interpreted as exhibiting low cost of capital and a good signal of future economic conditions.
This paper analyzes the impact of intraday trading activity on option prices in the Volatility Index (VIX) options market. Our results show that there is a temporal relationship between net buying pressure (NBP) and changes in implied volatility of VIX options. Moreover, an increase in NBPs lowers the next‐day delta‐hedged option returns. Using several measures proxying for limits to arbitrage, the average levels of the implied volatility curve rise when limits to arbitrage are severe. A trading strategy in the VIX futures market constructed by using the NBP generates an average annualized return of 10.09%.
This paper analyzes the impacts of investor attention on the returns and volatility of commodity futures in China. Using online search volumes as a proxy for investor attention, we find that investor attention exhibits a positive contemporaneous relationship with returns and volatility. In addition, the online search variables are significant predictors of returns and volatility in the commodity futures markets. Moreover, as compared with personal computer searches, mobile searches have a more pronounced predictive effect on returns and volatility. Taken together, we suggest that investor attention can explain the concurrent price movement and variation in the commodity futures markets in China.
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