Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets

Qureshi, Fiza; Kutan, Ali M.; Ismail, Izlin; Chan, Sok Gee

doi:10.1016/j.ememar.2017.05.005

Cited by 34 publications

(11 citation statements)

References 125 publications

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“…(2009). 2 Qureshi et al (2017) investigated the empirical relationship between mutual fund flows and stock market volatility in Asian emerging markets. They found that market volatility increases with the increase in equity fund flows, but decreases with the increase in balanced fund flows.…”

Section: Literature Reviewmentioning

confidence: 99%

“…There also exists evidence for the Polish market about the stabilizing effect of pension funds, as a group of large institutional investors, on stock prices volatility, presented in the studies by Bohl and Brzeszczynśki (2006) and Bohl et al (2009). 2 Qureshi et al (2017) investigated the empirical relationship between mutual fund flows and stock market volatility in Asian emerging markets. They found that market volatility increases with the increase in equity fund flows, but decreases with the increase in balanced fund flows.…”

Section: Institutional Investors Trading On Stock Marketsmentioning

confidence: 99%

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Pension funds, large capital inflows and stock returns in a thin market

Brzeszczyński

Bohl

Serwa

2018

Journal of Pension Economics and Finance

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Using unique data about capital flows from the public social security institute ZUS (Zakład Ubezpieczeń Społecznych) to private pension funds OFEs (Otwarte Fundusze Emerytalne) in Poland, we find that their impact, as a group of large institutional investors, on stock returns is statistically significant in short-term but no such effect exists in the long-run. This result is consistent with the temporary price pressure hypothesis of Ben-Rephael et al. (2011). We analyze the capital transfers, in the form of the aggregated pension contributions collected from all employees in the entire Polish economy, from the ZUS to the private pension funds, which further invest this capital on the stock market. The average time for the subsequent reaction of stock prices is found to be 4 days. The trading strategy based on this result generates superior outcomes in comparison with the passive strategy, which further confirms the price impact of capital inflows. Our findings are not only relevant for stock market investors but they also have broader policy implications for stock market regulators and for the national pension regulators.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Institutional Investors Trading On Stock Marketsmentioning

confidence: 99%

Pension funds, large capital inflows and stock returns in a thin market

Brzeszczyński

Bohl

Serwa

2018

Journal of Pension Economics and Finance

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“…Jiao and Ye (2014) documented strong evidence that mutual funds herd into or out of stocks following the herd of hedge funds: mutual funds' herding measure is positively related to last quarter's hedge fund herding. Qureshi et al (2017) found, that equity funds follow the market volatility positively, suggesting positive feedback trading (momentum) behavior. On the other hand, balanced funds follow market volatility negatively and exhibit negative feedback trading behavior (contrarian behavior).…”

Section: Literature Reviewmentioning

confidence: 91%

Management of Investment Funds Financial Fragility

Kravchuk¹

2019

Montenegrin Journal of Economics

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The aim of the research is to characterize the main factors of in vestment funds financial fragility (concentration, interconnected ness, yield search, homogeneous strategies, procyclical activity, lo substitutability, growth of leverage, low liquidity) in the Euro area Correlation coefficients with different strategies and the stock inde EURO STOXX 50 were used to check the presence of procyclicality o market behavior and homogeneity of investment funds strategie on the example of European hedge funds. In article was proposed t calculate a financial fragility index as a simple average of a leverag multiplier, a liquidity mismatch and an indicator of the intercon nectedness of funds with other financial institutions. The correlatio and regression analysis were applied to identify statistical relation ships between the level of financial fragility of different types o investment funds, as well as with the values of Composite Indicato of Systemic Stress (CISS) in the Euro area and the return of stoc index EURO STOXX50. The results of empirical calculations showe that at the present stage, these investment institutions are charac terized by a generally acceptable level of sensitivity to market fluc tuations. The study found reverse behavior of the equity funds f nancial fragility index in relation to the situation on the stock marke and mainly statistical insignificance of the financial fragility indice correlation of different types of investment funds, as well as wit CISS. The results also indicated that the level of homogeneity o hedge funds and their procyclical behavior in relation to trends i the stock market increases during crisis periods. JEL classification:G15, G23, G30, M16.

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“…3 Also, they find commonality in liquidity across markets and asset classes due to banks and funding institutions declines in funding liquidity. Further, Qureshi, Kutan, Ismail, and Gee (2017) find a feedback relationship between market volatility and equity fund flow in Asian markets arising due to macroeconomic events. Jain, Mishra, and McInish (2013) introduce two liquidity quantifying measures, illiquidity spirals and loss spirals; thus we use liquidity spiral measures to validate contemporaneous linkages.…”

Section: Introductionmentioning

confidence: 88%

Contemporaneous linkages: Funding liquidity and stock market spirals

2020

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We observe, especially during financial crisis periods, that central bank policies may trigger credit rationing and borrowing cost increases, resulting in contemporaneous institutional lender and market maker funding illiquidity. In turn, funding illiquidity is transmitted through banks and broker/dealers to market illiquidity of individual stocks. Thus, funding illiquidity, often originating with central bank monetary policy, is contemporaneously conveyed through institutional lenders, transferred to broker/dealers and spawns interconnected stock market illiquidity spirals and loss spirals. Our results are consistent and robust across different models that control for endogenous and exogenous factors.

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Mutual funds and stock market volatility: An empirical analysis of Asian emerging markets

Cited by 34 publications

References 125 publications

Pension funds, large capital inflows and stock returns in a thin market

Pension funds, large capital inflows and stock returns in a thin market

Management of Investment Funds Financial Fragility

Contemporaneous linkages: Funding liquidity and stock market spirals

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