| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運系碩士班 === 87 === The recent years have seen unprecedented growth in domestic mutual funds. The funds themselves have become important vehicles for investors. With the increased popularity of mutual funds, the fund flows may influence stock market in some way. So, the major theme of this research is focused on the mutual relationship between mutual fund flows and stock market.
The stock market affect the fund flows could be explained by feedback-trader hypothesis: investors move money into a market in response to recent performance in the market. The fund flows affect stock market could be explained by price pressure hypothesis: fund flows have the positive relationship with market due to the excess demand .In this study, we try to divide fund flows into anticipated and unanticipated flows, using autoregressive integrated moving-average model to investigate interactive influences between fund flows and market.
Also, we want to explore the relationship between cash positions of fund and market. The data was covered from August, 1994 to March,1999. And the empirical results are as following:
(1)Stock market positively influences the flows of open-end stock fund (domestic funding) and supports feedback-trader hypothesis.
(2)Can’t support price pressure hypothesis.
(3)The unexpected flows of open-end stock fund (domestic funding) and balance-end fund influence stock market. Stock market influences expected flows of open-end stock fund (foreign funding).
(4)The cash positions of open-end stock fund (domestic funding) negatively influences stock market.
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