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LIANG Chun-zao, ZHANG Long-bin. A Study of the Flow-Volatility Causality Relationship of the Open-end FundsJ. Journal of Beijing Institute of Technology (Social Sciences Edition), 2009, (2): 58-60.
Citation: LIANG Chun-zao, ZHANG Long-bin. A Study of the Flow-Volatility Causality Relationship of the Open-end FundsJ. Journal of Beijing Institute of Technology (Social Sciences Edition), 2009, (2): 58-60.
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A Study of the Flow-Volatility Causality Relationship of the Open-end Funds

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  • This paper introduces "Granger Causality Tests in Panel-Data"to study the causal relationship between volatility of fund performances and cash flows of the open end funds. The empirical results show that the volatility is the Granger causality of the cash flow. So the fund manager should pay attention to risk managements while chasing high returns in order to reduce the cash out-flow.
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