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- W2049804533 abstract "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 negative impact on market volatility: An inflow (outflow) shock predicts a decline (an increase) in volatility. From the perspective of volatility-flow relation, we find evidence of volatility timing for recent period of 1998-2003. Finally, we document a differential impact of daily inflow versus outflow on intraday volatility. The relation between intraday volatility and inflow (outflow) becomes weaker (stronger) from morning to afternoon." @default.
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- W2049804533 date "2008-11-10" @default.
- W2049804533 modified "2023-09-22" @default.
- W2049804533 title "An Empirical Analysis of the Dynamic Relationship between Mutual Fund Flow and Market Return Volatility" @default.
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