International fund investment and local market returns

Yothin Jinjarak; Jon Wongswan; Huanhuan Zheng

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International fund investment and local market returns

机译：国际基金投资和本地市场回报

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摘要

International fund investment in bonds and equities is characterized by a positive association between current net inflows and contemporaneous and past market returns: positive-feedback trading, while being possibly profitable for international fund investors, could be destabilizing for the underlying markets. Allowing for interactions between equity investment and bond investment, our panel vector auto-regression shows that past equity returns contain useful information in forecasting equity and bond flows and that bond flows impact future equity returns positively.

机译：国际基金对债券和股票的投资特点是当前净流入与同期和过去的市场收益之间存在正相关：正反馈交易虽然对国际基金投资者可能有利可图，但可能对基础市场造成不稳定。考虑到股票投资和债券投资之间的相互作用，我们的面板向量自回归显示，过去的股票收益包含预测股票和债券流量的有用信息，并且债券流量对未来的股票收益产生积极影响。

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来源
《Journal of banking & finance》 |2011年第3期|p.572-587|共16页
作者
Yothin Jinjarak; Jon Wongswan; Huanhuan Zheng;
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作者单位

Division of Economics, Nanyang Technological University, 14 Nanyang Avenue 637332, Singapore;

Phacra Securities Public Company Limited, 252/6 Ratchadapisek Road, Bangkok 10310, Thailand;

Division of Economics, Nanyang Technological University, 14 Nanyang Avenue 637332, Singapore;

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原文格式 PDF
正文语种 eng
中图分类
关键词
asset returns; bonds and equities; capital flows; institutional investors; global integration;

机译：资产收益率;债券和股权;资本流量;机构投资者;全球一体化;

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7. International fund investment and local market returns [O] . Jinjarak, Yothin, Wongswan, Jon, Zheng, Huanhuan 2011

机译：国际基金投资和本地市场回报

International fund investment and local market returns

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