International fund investment and local market returns

Huanhuan Zheng, Yothin Jinjarak, Jon Wongswan

Research output: Contribution to journalArticlepeer-review


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 languageEnglish
Pages (from-to)572-587
Number of pages16
JournalJournal of Banking and Finance
Issue number3
Publication statusPublished - Mar 2011

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