The dynamics between stock returns and mutual fund flows: empirical evidence from the Greek market

Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange

“…For example, Alexakis, Niarchos, Patra, and Poshakwale (2005) document that equity mutual funds have increased substantially their activity in the Greek stock market after financial liberalization. The authors suggest that inflows and outflows of cash in equity funds seem to cause higher and lower stock returns.…”

Equity Fund Flows and Stock Market Returns in the US Before and After the Global Financial Crisis: A VAR-GARCH-In-Mean Analysis

“…We represent the first and second moments of stock market returns and equity fund flows using a VAR-GARCH(1,1)-in-mean 1 In its most general specification the model takes the following form:…”

“…A few studies examine the fund flows-stock market returns relationship in countries other than the US. For instance, both Caporale et al (2004) and Alexakis et al (2005) found bi-directional linkages in the case of the Greek market. Oh and Parwada (2007) and Watson and Wickramanayake (2012) reported unidirectional (positive) causality running from stock market returns to mutual fund flows in Korea and Australia respectively.…”

The time difference effect of a measurement unit in the lead–lag relationship analysis of Korean financial market

“…In more technical parlance, co-integration is the link between integrated processes and steady state equilibrium. According to Alexakis, Niarchos, Patra, and Poshakwale (2005), the basic idea of co-integration is that the difference between two or more series would be stationary when they move closely together in the long-run although each may contain a trend. Thus, we may regard the co-integrating series as defining a long-run statistical equilibrium relationship.…”