주식 시장과 주식형 펀드 수익률 및 현금흐름의 동태적 관계: 구조형 벡터 자기회귀 모형을 이용한 개별 펀드 분석

Using a structural vector auto-regression (SVAR) model, this study examines the dynamic relationships among market volatility, market return, fund return, and fund cash flow at the individual fund level. The major empirical findings are as follows: First, contemporaneous effects among endogenous variables are very important for explaining the dynamic behavior of each endogenous variable. In the concurrent month, market volatility has statistically significant negative effects on both market return and fund return while market return generally has a negative effect on fund cash flow. Second, the directions of the relationships between fund returns and fund cash flows are not determinate in sign. Third,variance decomposition shows that fund return is most important for explaining fund cash flow in KOSPI200 index funds, but not in active equity funds. Finally, hypothesis tests by over-identification re-confirm the appropriateness of the SVAR to explain the dynamic relationships among market volatility, market return, fund return, and fund cash flow. This study contributes to the extant literature in the sense that the findings stress the importance of concurrent relationships.