| An Analysis of Aggregate Cash Inflows and Outflows of Korean Domestic Equity Funds |
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Kwang Soo Ko, Mi Youn Paek |
| 주식형 펀드의 현금 유입과 유출 분석 |
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고광수, 백미연 |
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| Abstract |
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This study investigates the dynamic relations among market volatility, market return, and aggregate cash flows with a special focus on equity fund cash flows (net flows, inflows, and outflows) for daily, weekly, and monthly frequencies. Empirical results of net flows are much different from those of the U.S. and Israel. Daily data show negative feedback trading, a positve effect of lagged market volatilities on inflows, and a very short-term disposition effect. These phenomena are due to short-term trading activities of Korean fund investors, which could derive from the short history of Korean fund industry and capital gain taxation system. Weekly and monthly data present a positive effect of lagged market returns on inflows (i.e., positive feedback trading). For all frequencies, we find negative (positive) cumulative effects of a volatility (return) shock on outflows, and a concurrent disposition effect. We interpret the behavior of aggregate net flows of domestic equity funds by decomposing them into inflows and outflows based on reduced-form VAR and SVAR. |
| Key Words:
누적 충격-반응 함수,동태적 관계,비정보 투자자,현금 유입,현금 유출,Cumulative Impulse-Response Function,Dynamic Relations,Inflows,Outflows,Uninformed Investors |
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