The price linkages between the equity fund price levels and the stock markets: Evidences from cointegration approach and causality analysis of Hong Kong Mandatory Provident Fund (MPF)

Chu, Patrick Kuok Kun

doi:10.1016/j.irfa.2010.08.001

Cited by 9 publications

(1 citation statement)

References 35 publications

(26 reference statements)

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“…Some studies explain the dynamic relationship between the stock markets (benchmark) and mutual fund schemes (Watson & Wickramanayake, 2012). Even though past examinations have researched the association between securities and mutual funds, there is no reasonable proof for the presence of causality and cointegration relationship (Chu, 2010). In past studies, the Granger model was used to determine the long-term relationship between factors, as well as causality techniques -to determine the short-term equilibrium association.…”

Section: Literature Reviewmentioning

confidence: 99%

Testing of causality relationship between Indian and Australian mutual funds performance: standard vs customized benchmarks

Manjunath

Raju

Rehaman

2020

Investment Management and Financial Innovations

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Most Australian domestic investors rely on fund managers, and in India, this is not the same as they are primarily in direct investment rather than indirect. The study attempts to investigate the causal relationship between the returns of the standard indices, namely BSE500 and ASX300, and customized indices, MIMF and MAMF, for both India and Australia. The study uses econometric tools and techniques such as unit root test, vector error correction model, Wald test, Johansen co-integration, and model efficacy assumptions on the historical closing NAV of the selected mutual fund schemes for the period from April 2008 to March 2018. The econometric investigation using Johansen’s Co-Integration test confirmed the co-integration between BSE500, ASX300 and customized indices. Empirical evidence suggests that the Australian customized MAMF index is not Granger-caused by the Indian customized index MIMF, and therefore the MIMF index value cannot be used to predict the future rate of index MAMF returns, and vice versa.

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Section: Literature Reviewmentioning

confidence: 99%