Dynamic Relations between Aggregate Mutual Fund Flows and Tehran Stock Exchange’ s Index: A Hidden Co-integration Approach

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ROSTAMI MOHAMMADREZA; Tajeddin Fatemeh

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Journal: FINANCIAL RESEARCH Year:2017 | Volume:19 | Issue:3 Page(s): 439-456

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Information Journal Paper

Title

Dynamic Relations between Aggregate Mutual Fund Flows and Tehran Stock Exchange’ s Index: A Hidden Co-integration Approach

Author(s)

ROSTAMI MOHAMMADREZA | Tajeddin Fatemeh | Issue Writer Certificate

Keywords

CECMQ2

Hidden cointegrationQ2

Index of Tehran Stock Exchange (TEDPIX)Q2

Mutual fund flowsQ2

Abstract

With regard to the prominent role of mutual funds in financial markets, this study aims to examine the relationship between the Mutual fund flows and the index of Tehran Stock Exchange (TEDPIX). For this purpose, the researchers used the daily data of 90 mutual funds during the period from March 2011 to March 2016 through "hidden co-integration approach and CECM. The study’ s contribution is the implementation of Hidden cointegration technique which enables researchers to identify the reaction of heterogeneous changes amongst two time series. Although, the results showed a hidden co-integration relationship between time series of Mutual fund flows and TEDPIX, the findings of the study did not approve the standard co-integration relation amongst two time series. More specifically, there is a long-run relationship between positive components of flows and indexes, and another long-run relationship between the negative components and indices.

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APA: Copy

ROSTAMI, MOHAMMADREZA, & Tajeddin, Fatemeh. (2017). Dynamic Relations between Aggregate Mutual Fund Flows and Tehran Stock Exchange’ s Index: A Hidden Co-integration Approach. FINANCIAL RESEARCH, 19(3 ), 439-456. SID. https://sid.ir/paper/91128/en

Vancouver: Copy

ROSTAMI MOHAMMADREZA, Tajeddin Fatemeh. Dynamic Relations between Aggregate Mutual Fund Flows and Tehran Stock Exchange’ s Index: A Hidden Co-integration Approach. FINANCIAL RESEARCH[Internet]. 2017;19(3 ):439-456. Available from: https://sid.ir/paper/91128/en

IEEE: Copy

MOHAMMADREZA ROSTAMI, and Fatemeh Tajeddin, “Dynamic Relations between Aggregate Mutual Fund Flows and Tehran Stock Exchange’ s Index: A Hidden Co-integration Approach,” FINANCIAL RESEARCH, vol. 19, no. 3 , pp. 439–456, 2017, [Online]. Available: https://sid.ir/paper/91128/en

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