Are the Structural Changes in Mutual Funds Investing Driving the U.S. Stock Market to Its Current Levels?
We examine the long-run equilibrium relation between the net flow of funds into equity mutual funds and the S&P 500 index. Applying the Engle and Granger error correction methodology followed by a state space procedure, we find that the levels of the stock market are influenced by the net flow of funds into equity mutual funds. Our findings indicate that the U.S. equity market appears to be rationally adjusting to a structural change in the behavior of the U.S. investing public.
Year of publication: |
1999
|
---|---|
Authors: | Mosebach, Michael ; Najand, Mohammad |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 22.1999, 3, p. 317-29
|
Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
Saved in:
Saved in favorites
Similar items by person
-
Najand, Mohammad, (2001)
-
Mosebach, Michael, (1999)
-
Mosebach, Michael, (1999)
- More ...