THE DYNAMICS BETWEEN MUTUAL FUNDS FLOWS AND STOCK RETURNS: EMPIRICAL EVIDENCE FROM THE TURKEY MARKETS

• Main Authors: Hümeyra BURUCU, Filiz YILDIZ CONTUK
• Format: Article
• Language: English
• Published: Social Sciences Research Society 2011-01-01
• Series: International Journal of Economics and Finance Studies
• Online Access: http://www.sobiad.org/eJOURNALS/journal_IJEF/archieves/2011_1/10humeyra_burucu.pdf

The aim of the study is searching the relationships existence and its directions between investment funds flow and earnings of market stock in Turkey for the period of 2001:4-2011:2. Specifically, we investigate the possibility of a causality mechanism through which mutual funds flows may affect stock returns and vice versa. Time series techniques used for searching this relationship between variances. Primarily to state stagnancy Phillips-Perron unit stem text techniques used, then to state the longer period relationships existence between variances Johansen- Juselius test techniques used. Because of variances are observed as integrated, by considering the possibility of existence at least there is a one way causality between variances, Granger causality test was made. As a result, findings show that there is a relationship between investment funds flow and earnings of market stock by the way there isn’t a causality relationship between investment funds flow and earnings of market stock.