International fund investment and local market returns

Jinjarak, Yothin; Wongswan, Jon; Zheng, Huanhuan

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.

Citation

Jinjarak, Y., Wongswan, J., & Zheng, H. (2011). International fund investment and local market returns. Journal of Banking and Finance, 35(2), 572-587. https://doi.org/10.1016/j.jbankfin.2010.04.002

• Journal Article Type: Article
• Publication Date: Jan 1, 2011
• Deposit Date: Aug 25, 2010
• Publicly Available Date: Jan 23, 2025
• Journal: Journal of Banking and Finance
• Print ISSN: 0378-4266
• Electronic ISSN: 1872-6372
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 35
• Issue: 2
• Pages: 572-587
• DOI: https://doi.org/10.1016/j.jbankfin.2010.04.002