Further evidence on co-movement between equity funds and business cycle variables in BRICS: A Wavelet analysis

Borsa Istanbul Review - Tập 20 - Trang S93-S102 - 2020
Fiza Qureshi1, Saba Qureshi1, Sobia Shafaq Shah1, Ijaz Ur Rehman2, Faisal Shahzad3
1Institute of Business Administration, University of Sindh, Jamshoro, Pakistan
2College of Business Administration, Al Falah University, United Arab Emirates
3Comsats University Islamabad, Attock Campus, Pakistan

Tài liệu tham khảo

Akoum, 2012, Co-movement of oil and stock prices in the gcc region: A wavelet analysis, The Quarterly Review of Economics and Finance, 52, 385, 10.1016/j.qref.2012.07.005 Alexakis, 2013, Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique, International Review of Financial Analysis, 28, 1, 10.1016/j.irfa.2013.02.001 Bali, 2014, Macroeconomic risk and hedge fund returns, Journal of Financial Economics, 114, 1, 10.1016/j.jfineco.2014.06.008 Caballero, 2019, On corporate borrowing, credit spreads and economic activity in emerging economies: An empirical investigation, Journal of International Economics, 118, 160, 10.1016/j.jinteco.2018.11.010 Cao, 2008, An empirical analysis of the dynamic relationship between mutual fund flow and market return volatility, Journal of Banking & Finance, 32, 2111, 10.1016/j.jbankfin.2007.12.035 Chatziantoniou, 2013, Stock market response to monetary and fiscal policy shocks: Multi-country evidence, Economic Modelling, 30, 754, 10.1016/j.econmod.2012.10.005 Chuhan, 1998, Equity and bond flows to Latin America and Asia: the role of global and country factors, Journal of Development Economics, 55, 439, 10.1016/S0304-3878(98)00044-3 Ferreira, 2012, The flow-performance relationship around the world, Journal of Banking & Finance, 36, 1759, 10.1016/j.jbankfin.2012.01.019 Fama, 1990, Stock returns, expected returns, and real activity, The Journal of Finance, 45, 1089, 10.1111/j.1540-6261.1990.tb02428.x Ferson, 2012, The factor structure of mutual fund flows, International Journal of Portfolio Analysis and Management, 1, 112, 10.1504/IJPAM.2012.049214 Flannery, 2002, Macroeconomic factors do influence aggregate stock returns, Review of Financial Studies, 15, 751, 10.1093/rfs/15.3.751 Fong, 2018, Determinants of equity mutual fund flows – evidence from the fund flow dynamics between Hong Kong and global markets, Journal of International Financial Markets, Institutions and Money, 57, 231, 10.1016/j.intfin.2018.09.001 Gençay, 2002, An introduction to wavelets and other filtering methods in finance and economics, Waves in Random Media, 12 Gouriéroux, 2012 Grinsted, 2004, Application of the cross wavelet transform and wavelet coherence to geophysical time series, Nonlinear Processes in Geophysics, 11, 561, 10.5194/npg-11-561-2004 Haddad, 2013, Trade openness reduces growth volatility when countries are well diversified, Canadian Journal of Economics/Revue Canadienne d'Économique, 46, 765, 10.1111/caje.12031 Jank, 2012, Mutual fund flows, expected returns, and the real economy, Journal of Banking & Finance, 36, 3060, 10.1016/j.jbankfin.2012.07.004 Kim, 2000, Causes of capital flows in developing countries, Journal of International Money and Finance, 19, 235, 10.1016/S0261-5606(00)00001-2 Koopmans, 1995 O'Neill, 2011 Pierce, 1979, R-squared measures for time series, Journal of the American Statistical Association, 74, 901 Puy, 2016, Mutual funds flows and the geography of contagion, Journal of International Money and Finance, 60, 73, 10.1016/j.jimonfin.2015.06.014 Qureshi, 2017, Mutual funds and market performance: New evidence from asean markets, Investment Analysts Journal, 46, 61, 10.1080/10293523.2016.1253137 Qureshi, 2019, Mutual fund flows and investors' expectations in BRICS economies: Implications for international diversification, Economic Systems, 43, 130, 10.1016/j.ecosys.2018.09.003 Qureshi, 2019, Dynamics of mutual funds and stock markets in Asian developing economies, Journal of Asian Economics, 65, 101135, 10.1016/j.asieco.2019.101135 Qureshi, 2020, Exchange rate risk and sectoral returns: A wavelet-based mra-edcc garch analysis, Communications in Statistics - Theory and Methods, 1, 10.1080/03610926.2020.1772304 Qureshi, 2018, Does gold act as a safe haven against exchange rate fluctuations? The case of Pakistan rupee, Journal of Policy Modeling, 40, 685, 10.1016/j.jpolmod.2018.02.005 Samargandi, 2016, Private credit spillovers and economic growth: Evidence from BRICS countries, Journal of International Financial Markets, Institutions and Money, 44, 56, 10.1016/j.intfin.2016.04.010 Schleicher, 2002 Sirri, 1998, Costly search and mutual fund flows, The Journal of Finance, 53, 1589, 10.1111/0022-1082.00066 Soares, 2011, Business cycle synchronization and the euro: A wavelet analysis, Journal of Macroeconomics, 33, 477, 10.1016/j.jmacro.2011.02.005 Strang, 1996 Thomas, 2014, Pension funds and stock market volatility: An empirical analysis of OECD countries, Journal of Financial Stability, 11, 92, 10.1016/j.jfs.2014.01.001 Uddin, 2013, On the relationship between oil price and exchange rates: A wavelet analysis, Economic Modelling, 35, 502, 10.1016/j.econmod.2013.07.035 Warner, 1998 Warther, 1995, Aggregate mutual fund flows and security returns, Journal of Financial Economics, 39, 209, 10.1016/0304-405X(95)00827-2