We identify and test the structural VAR model for the relations among market volatility, market return, and aggregate equity fund flows in an international context. The major empirical findings are as follows. First, reduced-form and structural VAR analyses demonstrate that the relations among...

The rise of institutional investors in stock ownership is a common phenomenon observed around the world, and the importance and influence of foreign investors is also increasing, especially in Asian markets. This study examines the characteristics of institutional and foreign investor stock...

This paper investigates the relation between international mutual fund flow and local/home market returns following Warther (1995) and Froot, O'Connell and Seasholes (2001). Like the U.S. domestic results, the concurrent local market return is found to be very important to explain the...