The Lead-lag Relationships of Equity Fund Flows: Evidence of an Emerging Market
Hubungan Pimpin-Lengah Aliran Dana Ekuiti: Bukti Pasaran Membangun

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor, MALAYSIA.

zamzam@ukm.edu.my

Abstract

This study examines the lead-lag relationships among four arrays of equity fund flows into Malaysian equity market. The equity fund flows are of (1) local institutional and retail investors and (2) foreign institutional and retail investors. Using a daily aggregate data, the findings of this study reveal that foreign institutional equity fund flows have an impact on both local institutional and retail equities’ fund flows. However, local institutional equity fund flows do not have relationships with either foreign institutional or retail equity fund flows. This research also shows that there is a bi-directional causality between local retail and foreign institutional equities’ fund flows. However, there is a uni-directional causality running from local retail to foreign retail equity fund flows. The finding also discloses that there is no lead-lag relationship between foreign institutional and retail equities’ fund flows. Even though both local institutional and retail equities’ fund flows influence each other, the impact of local institutional on local retail equity fund flows is stronger. Fund flows own innovations explain more on the variability in both foreign institutional and retail equities’ fund flows, as well as local retail equity fund flows. However, innovations in other types of equity fund flows on aggregate basis explain more on the variability in local institutional equity fund flows as opposed to its own innovations. Finally, among the four categories of equity traders, foreign institutions and local retailers seem to drive Malaysian equity market.

Keywords

emerging market; equity fund flows; granger causality; institutional investors; Lead-lag relationships; retail investors; variance decomposition
https://doi.org/10.17576/pengurusan-2018-51-03

Citation

Sapian, R. Z. Z. (2017). The Lead-lag Relationships of Equity Fund Flows: Evidence of an Emerging Market. Jurnal Pengurusan, 51, 25–35. https://doi.org/10.17576/pengurusan-2018-51-03

@article{sapian2017lead-lag,
  title={The Lead-lag Relationships of Equity Fund Flows: Evidence of an Emerging Market},
  author={Sapian, Ros Zam Zam},
  journal={Jurnal Pengurusan},
 

volume={51},
  number={},
  pages={25—35},
  year={2017},
  doi={https://doi.org/10.17576/pengurusan-2018-51-03},
  publisher={Penerbit UKM},
}

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51 (2017) 25 – 35

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