The Correlation Between Open-end Fund Flow and Investor Behavior Empirical Evidences from Fund Market and Equity Market
Yu Jiangning;Zhu Qigui;
Utilizing quarterly data of open-end funds in China from September 2004 to march 2015, this paper applies time series VAR model and unbalanced panel data model to examine the causes of mutual funds flow and investor behavior. In addition to the effect of historical return, study indicates strong positive relationship between equity funds flow and some factors such as excess return and volatility of stock market, economic indicators, and investor sentiment. Further study conducted toward other different types of funds shows that bond funds flow and hybrid funds flow increase along with the growth of stock market return; in contrast money market funds flow would decrease as it happened. According to the influence factors of funds flow, investors act like speculators.