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Mutual fund flow Paper 7 September 2020 Edited BA GC AV GC.pdf (604.88 kB)

How does mutual fund flow respond to oil market volatility?

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journal contribution
posted on 2020-10-07, 15:51 authored by Bader Alsubaiei, Giovanni Calice, Andrew VivianAndrew Vivian

We comprehensively study the impact of oil market volatility on mutual fund flow. In particular, using an extensive dataset on Saudi Arabia covering virtually all equity funds over 2006-2017, this paper provides the first analysis of the linkages between fund flow and oil market volatility. Our main findings show that investors shift substantially their asset allocation to the equity mutual fund sector in periods of high volatility. Our further evidence suggests that flow to high oil-exposed funds is more sensitive to oil volatility than low oil-exposed funds. This is consistent with investors valuing professional management highly during risky periods in a setting where alternatives to equity investment are limited. Our study provides new evidence for a fast-growing market and reveals important implications for the mutual fund market which helps investors, academics and regulators to better understand the behaviour of this market.

History

School

  • Loughborough Business School

Published in

The European Journal of Finance

Volume

30

Issue

1

Pages

28 - 52

Publisher

Taylor & Francis (Routledge)

Version

  • AM (Accepted Manuscript)

Rights holder

© Informa UK Limited, trading as Taylor & Francis Group

Publisher statement

This is an Accepted Manuscript of an article published by Taylor & Francis in The European Journal of Finance on 12 Nov 2020, available online: http://www.tandfonline.com/10.1080/1351847X.2020.1842784.

Acceptance date

2020-10-06

Publication date

2020-11-12

Copyright date

2020

ISSN

1351-847X

eISSN

1466-4364

Language

  • en

Depositor

Prof Andrew Vivian. Deposit date: 6 October 2020

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