ความสัมพันธ์ระหว่างกระแสเงินลงทุนในกองทุนรวมอ้างอิงผลตอบแทนตามดัชนีเซ็ต50 และผลตอบแทนของดัชนีเซ็ต50

Abstract

This study presents the relation between SET50 index returns and SET50 index mutual fund flows and evaluated the causality therein between these variables. Daily data during October, 1st 2010 and November, 11th 2020 of SET50 index returns and net total asset of 17 SET50 index mutual funds are used for relationship hypothesis testing under regression analysis, as well as intraday data of SET50 index returns during October, 28th 2019 and November, 11th 2020 are also used for studying the causality. The empirical findings show that no feedback trading is found while a negative relationship is seen between current SET50 index returns and current unexpected flows as well as not found a significant relationship with expected flows. However, the finding causality examines cannot lead to a conclusion that SET50 index mutual fund flows cause changes in SET50 index returns and vice versa.