Economic Policy Uncertainty and Equity Fund Flows to India: A Bayesian Approach

By:

Material type:

Continuing resourcePublication details: The Indian Economic Journal; 2024Description: 259-269ISSN:

0019-4662

Subject(s):

Online resources:

Click here to access online

Summary: We compare the impacts of economic policy uncertainty (EPU) and global economic policy uncertainty (GEPU)-related shocks on equity fund flows (EFFs) to India using a Bayesian vector autoregression approach. We find that (a) Indian EPU and GEPU are strongly and negatively related to EFF; (b) EFF are more sensitive to GEPU relative to Indian EPU; (c) evidence of trend-chasing behaviour by fund managers in India; and (d) GEPU is an important factor for forecasting returns on the Bombay Stock Exchange. Taken together, our findings indicate that EPU is important to understanding equity allocation decisions and returns in India.JEL Codes: F21, F39, G11

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Current library	Vol info	Status	Barcode
Article Index	Dr VKRV Rao Library	Vol. 72, No. 2	Not for loan	AI126

We compare the impacts of economic policy uncertainty (EPU) and global economic policy uncertainty (GEPU)-related shocks on equity fund flows (EFFs) to India using a Bayesian vector autoregression approach. We find that (a) Indian EPU and GEPU are strongly and negatively related to EFF; (b) EFF are more sensitive to GEPU relative to Indian EPU; (c) evidence of trend-chasing behaviour by fund managers in India; and (d) GEPU is an important factor for forecasting returns on the Bombay Stock Exchange. Taken together, our findings indicate that EPU is important to understanding equity allocation decisions and returns in India.JEL Codes: F21, F39, G11

There are no comments on this title.

to post a comment.