Cao, Charles; Chang, Eric C.; Wang, Ying - In: Journal of Banking & Finance 32 (2008) 10, pp. 2111-2123
We study the dynamic relation between aggregate mutual fund flow and market-wide volatility. Using daily flow data and a VAR approach, we find that market volatility is negatively related to concurrent and lagged flow. A structural VAR impulse response analysis suggests that shock in flow has a...
