The Influence of Stock Market Volatility Index on Mutual Fund Flows

[[abstract]]本文使用美股恐慌指數與台股恐慌指數，探討市場上下震盪之時，對於台股基金流量之影響。研究發現，美股恐慌指數對於台股基金流量具有負向影響。此外，基金報酬率對於基金流量與流量比率幾乎都具正向影響，進一步研究發現，基金報酬率與基金流量不具非線性關係，然而，若將基金依照報酬高低分成兩組，報酬較高之組基金申購金額與贖回金額，則是顯著異於報酬較低之組。此外，我們發現基金報酬率對於基金非預期流量、非預期流量比率與非預期申購金額顯著具有正向影響，對於預期贖回金額則是具有負向影響。[[abstract]]CBOE’s Market Volatility Index or “VIX” for short which is used to measure the expected future stock market volatility is often referred to as the “fear index ” The VIX will typically rise when the S&P500 index drops and fall when the market rises In this paper we study the impact of stock market volatility expectations (including VIX and TVIX) on flows of Taiwan’s Stock mutual funds We find that aggregate net equity fund flows are negatively correlated with the volatility (VIX) Also we find that aggregate net equity fund flows and the fund flow ratio are almost positively correlated with the fund returns Furthermore we find that the aggregate net flows and the fund returns do not have the nonlinear performance-flow relationship However we find that the purchase and the redemption both increase when the fund returns are in the upper half group Besides we find that the unexpected concurrent flow flow ratio and purchase are all positively correlated with the concurrent fund returns while the expected concurrent redemption is negatively correlated with the concurrent fund return