Chulalongkorn University Theses and Dissertations (Chula ETD)

Other Title (Parallel Title in Other Language of ETD)


Year (A.D.)


Document Type

Independent Study

First Advisor

Anirut Pisedtasalasai


Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline





This paper empirically examines the comparative relationship between flow of equity and bond fund with the expected and real economy among US, UK and Japan market. Two objectives are set in according to the implication of information-response theory. The first objective is to study the relationship between mutual fund flow and the expectation in the future economic conditions capturing by predictive variable. Due to investors’ sensitivity to economic conditions, the second objective is to study the ability of mutual fund flows to predict the real economic conditions. The analytical period covers from 2001: Q1 to 2020: Q4. The study found a potential correlation between mutual fund flows with both the expected and real economy. Mutual fund flows seem to have a bidirectional relation with predictive variable. The result indicate that mutual fund flows not only react to an anticipated change in economic condition but mutual fund flows also affect investors’ expectation about the future economy. Good future economic expectation tends to lead the flow into bond fund while deteriorated future economic expectation is likely to bring up bond fund flows. Furthermore, the findings suggest that mutual fund flows could help predict predictive variables. The study evidence also suggest that mutual fund flows and macroeconomic condition are likely to be related. Mutual fund flows themselves contain information about the real economy. An improvement in the real economy is possibly predicted by an increase in equity fund flows whereas an increase in bond fund flows is likely to be a signal of a poor economic state. Also, mutual fund flows could possibly be affected by the real economic condition.



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