The Interaction of Mutual Fund Flows and Stock Returns: Evidence From The Turkish Capital Market

Öz

The substantial growth and popularity of mutual funds as an investment tool has risen the need for an understanding of the significant implications for the financial markets. This paper examines the dynamic interaction between mutual fund flows and stock returns for an emerging capital market, namely Turkey and more specifically, analyzes the possibility of a causal mechanism whether mutual fund flows influence stock returns and vice versa. Long run dynamic relationship is examined by using cointegration tests, short-run dynamic causal relationship through vector error correction model. The results of cointegration test show that there is cointegrating relationship among each category of mutual fund flows and stock index. Moreover, the statistical evidence indicates that there is bidirectional causality between all categories of mutual fund flows and stock returns. Thus, the empirical findings will prove to be extremely useful information for investors who need to understand these dynamic interactions

Anahtar Kelimeler

• Mutual funds flows, stock markets, causality

Yatırım Fonları ile Hisse Senedi Piyasasının Etkileşimi: Türk Sermaye Piyasasından Bulgular

Öz

Günümüzde büyüklüğü ve popülerliği hızla artan yatırım fonlarının finansal piyasalar üzerindeki etkilerini anlamak yatırımcılar için oldukça önemlidir. Bu çalışma, Türkiye’deki yatırım fonları ile hisse senetleri arasındaki uzun ve kısa dönemli dinamik ilişkiyi incelemektedir. Seriler arasındaki uzun dönemli dinamik ilişki standart eşbütünleşme testleri ile kısa dönemli nedensellik ilişkisi ise Vektör Hata Düzeltme Modeli (VECM) kullanılarak test edilmiştir. Ampirik bulgular, tüm yatırım fonu tipleri ile hisse senedi getirileri arasında uzun dönemli bir ilişki olduğunu ortaya koymaktadır. Vektör Hata Düzeltme Modeli kullanılarak yapılan Granger nedensellik testleri, tüm yatırım fonu tipleri ile hisse senedi getirileri arasında kısa dönemde çift yönlü nedensellik ilişkisi olduğunu göstermektedir

Anahtar Kelimeler

• Yatırım fonları, hisse senedi piyasası, nedensellik

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