International fund investment and local market returns

Huanhuan Zheng; Yothin Jinjarak; Jon Wongswan

doi:10.1016/j.jbankfin.2010.04.002

International fund investment and local market returns

Huanhuan Zheng, Yothin Jinjarak, Jon Wongswan

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

International fund investment in bonds and equities is characterized by a positive association between current net inflows and contemporaneous and past market returns: positive-feedback trading, while being possibly profitable for international fund investors, could be destabilizing for the underlying markets. Allowing for interactions between equity investment and bond investment, our panel vector autoregression shows that past equity returns contain useful information in forecasting equity and bond flows and that bond flows impact future equity returns positively.

Original language	English
Pages (from-to)	572-587
Number of pages	16
Journal	Journal of Banking and Finance
Volume	35
Issue number	3
DOIs	https://doi.org/10.1016/j.jbankfin.2010.04.002
Publication status	Published - Mar 2011

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10.1016/j.jbankfin.2010.04.002

http://www.sciencedirect.com/science/article/pii/S0378426610001287

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title = "International fund investment and local market returns",

abstract = "International fund investment in bonds and equities is characterized by a positive association between current net inflows and contemporaneous and past market returns: positive-feedback trading, while being possibly profitable for international fund investors, could be destabilizing for the underlying markets. Allowing for interactions between equity investment and bond investment, our panel vector autoregression shows that past equity returns contain useful information in forecasting equity and bond flows and that bond flows impact future equity returns positively.",

author = "Huanhuan Zheng and Yothin Jinjarak and Jon Wongswan",

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AB - International fund investment in bonds and equities is characterized by a positive association between current net inflows and contemporaneous and past market returns: positive-feedback trading, while being possibly profitable for international fund investors, could be destabilizing for the underlying markets. Allowing for interactions between equity investment and bond investment, our panel vector autoregression shows that past equity returns contain useful information in forecasting equity and bond flows and that bond flows impact future equity returns positively.

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JO - Journal of Banking & Finance

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International fund investment and local market returns

Abstract

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