| Summary: | 碩士 === 國立彰化師範大學 === 商業教育學系 === 101 === This study collects the monthly data of stock mutual funds from January in 2003 to December in 2012. The sample is 129 equity funds. The objectives of this study are to investigate the correlation between mutual fund flows and stock market returns and causal correlation between mutual fund flows and macroeconomics activities. The conclusion verifies that stock market returns has significantly positive correlation with mutual fund flows, and the predictor variable of influencing stock market returns will influence mutual fund flows and has negative correlation with stock market returns. The regression analysis shows that different types of mutual fund and predictor variable have significant difference from stock mutual funds. Finally, this study investigates whether mutual fund flows and stock market returns will be the same that influence macroeconomics activities. This study adopts Granger causality to test the past mutual fund flows influencing the growth rate of current real GDP growth and current labor income growth, meaning that mutual fund flows can predict macroeconomics activities. The consumption growth and industry production growth have interactions with mutual fund flows, meaning that mutual fund flows can predict macroeconomics activities.
Based on the empirical result, this study verifies that stock market returns and its predictor variable will affect mutual fund flows, and mutual fund flows will simultaneously influence macroeconomics activities.
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