Liquidity, Performance, Market Conditions and Redemption: Evidence From Mutual Funds in Iran
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Liquidity, Performance, Market Conditions and Redemption: Evidence From Mutual Funds in Iran

Document Type : Original Article

Authors
alireza mahmoudi ghahsareh 1
abdolmajid abdolbaghi 2
saeed fathi 3
1 Auditor / supreme Audit court
2 Assistant Professor, Faculty of Industry and Management
3 Associate Professor, University of Isfahan
10.22034/jse.2018.11135
Abstract
Financial resources of Mutual Funds have a very significant impact on the depth of the capital market and The behavior that the mutual fund managers shows at the time of the purchase and sale of the asset can play a very important role in the capital market.
Accordingly, And with regard to the impact of the asset structure on absorption and The withdrawal of resources of mutual Funds, In this essay we study The effect of the structure and liquidity of assets in net cash flows of Mutual Fund.
For this purpose, We have chosen 111 cases from 143 Mutual Funds that provided required information for this study. Based on the results of this study, liquidity is affective on net cash flow in the mutual fund. Furthermore Determined that the Past performance of the mutual Fund in High liquidity conditions, exacerbated this Relation. Moreover determined that Market conditions can exacerbate the effect of low liquidity on outflow.
Keywords
Liquidity
Market Condition
Redemption
Inflow
Mutual Fund
  1. سعیدی علی، محسنی قاسم و مشتاق سعید. (1389)." عوامل مؤثر بر بازده صندوق‌های سرمایه‌گذاری در سهام در بورس اوراق بهادار تهران "، فصلنامه بورس اوراق بهادار،3(10):123-141.
  2. محمدی، شاپور، راعی، رضا، قالیباف، حسن و غلامحسین گل ارزی. (1389)." تجزیه‌وتحلیل رفتار جمعی سرمایه‌گذاران در بورس اوراق بهادار تهران با استفاده از مدل فضای حالت "، مجله پژوهش‌های حسابداری مالی،2(3):49-60.
    1. Banerjee, A. V. (1992). A Simple Model of Herd Behavior, The Quarterly Journal of Economics, 107(3), 797-817. doi:10.2307/2118364
    2. Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades, Journal of Political Economy, 100(5), 992-1026. doi:10.1086/261849
    3. Chen, Q., Goldstein, I., & Jiang, W. (2010). Payoff complementarities and financial fragility: Evidence from mutual fund outflows, Journal of Financial Economics, 97(2), 239-262. doi:10.1016/j.jfineco.2010.03.016
    4. Fulkerson, J. A., & Riley, T. B. (2016). Mutual Fund Liquidity Costs, Financial Management. doi:10.1111/fima.12157
    5. Froot, K. A., Scharfstein, D. S., & Stein, J. C. (1992). Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation, The Journal of Finance, 47(4), 1461-1484. doi:10.2307/2328947
    6. Greene, J. T., Hodges, C. W., & Rakowski, D. A. (2007). Daily mutual fund flows and redemption policies. Journal of Banking & Finance, 31(12), 3822-3842. doi:10.1016/j.jbankfin.2007.01.018
    7. Jiang, H., & Wang, A. (n.d). Dynamic Liquidity Management by Corporate Bond Mutual Funds. SSRN Electronic Journal. doi:10.2139/ssrn.2776829

10. Lobão, J., & Serra, A. P. (2007). Herding Behavior: Evidence from Portuguese Mutual Funds. Diversification and Portfolio Management of Mutual Funds, 167-197. doi:10.1057/9780230626508_8

11. Nofsinger, R." Tests Of Herding And Positive Feedback Trading Strategies By Institutions And Individuals", working paper, Washington State University

12. Wang, N., Sen-Sung, C., Hsu, Y. & Huang, S. (2016).a seemingly unrelated regression analysis on the trading behavior of mutual fund investors, Journal of Economic and Social Development,3(2):70-77.

13. Wang, N., Huang, C., Hsu, Y. & Huang, S. (2015). Using Stepwise Reality Check to Analyze Open-end Fund Investors’ Herding Redemption in Taiwan, International Journal of Economics and Financial Issues,5(1): 260-272

14. Lin, C.& Wang, N. Lee, Y. (2014). Open-end Fund Characteristics and Investors’ Herding Redemption in Taiwan. International Journal of Conceptions on Management and Social Sciences,2(2): 2357 – 2787.

Quarterly Journal of Securities Exchange
Volume 11, Issue 43
Winter 2019
Pages 73-89