A SEEMINGLY UNRELATED REGRESSION ANALYSIS ON THE TRADING BEHAVIOR OF MUTUAL FUND INVESTORS
This paper provides a comprehensive investigation on the causality relationship between fund performance and trading flows. We analyze if investors behave asymmetrically in fund purchasing and selling by seemingly unrelated regression which comprises several individual relationships that are linked...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Varazdin Development and Entrepreneurship Agency
2016-09-01
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| Series: | Journal of Economic and Social Development (Varaždin) |
| Subjects: | |
| Online Access: | http://www.jesd-online.com/dokumenti/upload/separated/Vol%203%20No%202_07.pdf |
| _version_ | 1818246195942785024 |
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| author | Nan-Yu Wang Sen-Sung Chen Chih-Jen Huang Shih-Heng Hsiao |
| author_facet | Nan-Yu Wang Sen-Sung Chen Chih-Jen Huang Shih-Heng Hsiao |
| author_sort | Nan-Yu Wang |
| collection | DOAJ |
| description | This paper provides a comprehensive investigation on the causality relationship between fund performance and trading flows. We analyze if investors behave asymmetrically in fund purchasing and selling by seemingly unrelated regression which comprises several individual relationships that are linked by the fact that their disturbances or the error terms are correlated. The empirical result shows a significantly negative relationship between fund performance and purchase flows for domestic funds. The magnitude of domestic funds redemption negatively affects current return, but not for international funds. As previousfund return positively affects current net flows,the further lagged performances have no significant impact on the trading flows, revealing that fund investors are sensitive only to short-term past performance. Most importantly, while negative fund performance leads to the increases in redemption, positive performance contrarily leads to the decreases in purchase. The evidences strongly indicate an asymmetry behavior of fund investors in the return-purchase causality relations. |
| first_indexed | 2024-12-12T14:44:57Z |
| format | Article |
| id | doaj.art-bb63b071c46c4e74a58837f1a57df23e |
| institution | Directory Open Access Journal |
| issn | 1849-3327 |
| language | English |
| last_indexed | 2024-12-12T14:44:57Z |
| publishDate | 2016-09-01 |
| publisher | Varazdin Development and Entrepreneurship Agency |
| record_format | Article |
| series | Journal of Economic and Social Development (Varaždin) |
| spelling | doaj.art-bb63b071c46c4e74a58837f1a57df23e2022-12-22T00:21:08ZengVarazdin Development and Entrepreneurship AgencyJournal of Economic and Social Development (Varaždin)1849-33272016-09-01327077A SEEMINGLY UNRELATED REGRESSION ANALYSIS ON THE TRADING BEHAVIOR OF MUTUAL FUND INVESTORSNan-Yu WangSen-Sung ChenChih-Jen HuangShih-Heng HsiaoThis paper provides a comprehensive investigation on the causality relationship between fund performance and trading flows. We analyze if investors behave asymmetrically in fund purchasing and selling by seemingly unrelated regression which comprises several individual relationships that are linked by the fact that their disturbances or the error terms are correlated. The empirical result shows a significantly negative relationship between fund performance and purchase flows for domestic funds. The magnitude of domestic funds redemption negatively affects current return, but not for international funds. As previousfund return positively affects current net flows,the further lagged performances have no significant impact on the trading flows, revealing that fund investors are sensitive only to short-term past performance. Most importantly, while negative fund performance leads to the increases in redemption, positive performance contrarily leads to the decreases in purchase. The evidences strongly indicate an asymmetry behavior of fund investors in the return-purchase causality relations.http://www.jesd-online.com/dokumenti/upload/separated/Vol%203%20No%202_07.pdfFund performanceFund flowstrading behaviorSeemingly unrelated regression |
| spellingShingle | Nan-Yu Wang Sen-Sung Chen Chih-Jen Huang Shih-Heng Hsiao A SEEMINGLY UNRELATED REGRESSION ANALYSIS ON THE TRADING BEHAVIOR OF MUTUAL FUND INVESTORS Journal of Economic and Social Development (Varaždin) Fund performance Fund flows trading behavior Seemingly unrelated regression |
| title | A SEEMINGLY UNRELATED REGRESSION ANALYSIS ON THE TRADING BEHAVIOR OF MUTUAL FUND INVESTORS |
| title_full | A SEEMINGLY UNRELATED REGRESSION ANALYSIS ON THE TRADING BEHAVIOR OF MUTUAL FUND INVESTORS |
| title_fullStr | A SEEMINGLY UNRELATED REGRESSION ANALYSIS ON THE TRADING BEHAVIOR OF MUTUAL FUND INVESTORS |
| title_full_unstemmed | A SEEMINGLY UNRELATED REGRESSION ANALYSIS ON THE TRADING BEHAVIOR OF MUTUAL FUND INVESTORS |
| title_short | A SEEMINGLY UNRELATED REGRESSION ANALYSIS ON THE TRADING BEHAVIOR OF MUTUAL FUND INVESTORS |
| title_sort | seemingly unrelated regression analysis on the trading behavior of mutual fund investors |
| topic | Fund performance Fund flows trading behavior Seemingly unrelated regression |
| url | http://www.jesd-online.com/dokumenti/upload/separated/Vol%203%20No%202_07.pdf |
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