Defying the odds: Macro-level analysis of aggregate mutual fund flows and stock market volatility in the Philippines
Financial globalization and market interdependence contributes to the growth of the mutual fund industry through cross-border capital flows and asset holdings. In the Philippines, after the Asian financial crisis its mutual fund industry experienced an unprecedented growth. However, aggregate mutual...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2017
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/9013 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | Financial globalization and market interdependence contributes to the growth of the mutual fund industry through cross-border capital flows and asset holdings. In the Philippines, after the Asian financial crisis its mutual fund industry experienced an unprecedented growth. However, aggregate mutual fund flows have not yet been investigated in terms of its dynamic and casual relationship with stock market volatility and macroeconomic variables. Therefore, this study identifies the dynamic and causal relationship among the variables in the Philippines using the Vector Autoregression (VAR) model during the period June 2000 to December 2016. The findings indicate that investors in the Philippines tend to be more risk-averse in the presence of a highly volatile market and unfavorable economic conditions. |
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