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Applied Economics Letters Volume 22, 2015 - Issue 5
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Original Articles

Are international fund flows pro- or counter-cyclical?

Suxiao LiUniversity of Groningen, Groningen, the Netherlands;School of Management, Graduate University of Chinese Academy of Sciences, Beijing, China;Research Center of Fictitious Economy & Data Science, CAS, Beijing, China
,
Jakob de HaanUniversity of Groningen, Groningen, the Netherlands;De Nederlandsche Bank, Amsterdam, the Netherlands;CESifo, Munich, Germany
,
Bert ScholtensUniversity of Groningen, Groningen, the Netherlands;School of Management, University of Saint Andrews, Scotland, UKCorrespondence[email protected]
&
Haizhen YangSchool of Management, Graduate University of Chinese Academy of Sciences, Beijing, China;Research Center of Fictitious Economy & Data Science, CAS, Beijing, China
Pages 378-384 | Published online: 15 Aug 2014
 
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Abstract

We investigate whether international fund flows are pro-or counter-cyclical by employing a concordance index. International fund flows are investments in bond and equity markets by institutional investors, such as mutual funds, exchange traded funds, closed-end funds and hedge funds. We find that fund flows are pro-cyclical ahead of the business cycle and counter-cyclical contemporaneously after the business cycle.

JEL Classification:

Acknowledgement

The views expressed do not necessarily reflect those of De Nederlandsche Bank.

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