Journal of the Korea Academia-Industrial cooperation Society (한국산학기술학회논문지)

The Korea Academia-Industrial cooperation Society (한국산학기술학회)
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Mutual Fund Performance and Fund Flows: Medium-Term Relations in Korean Market

한국시장에서의 뮤추얼펀드의 성과와 현금흐름 간의 중기적 관계

  • Kwon, Kyoung-Min (College of Business Administration, Hongik University) ;
  • Kim, Noolee (College of Business and Economics, Hanyang University-ERICA)
  • 권경민 (홍익대학교 경영대학 경영학부) ;
  • 김누리 (한양대학교 경상대학 경영학부)
  • Received : 2015.08.03
  • Accepted : 2015.10.08
  • Published : 2015.10.31
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Abstract

This study examines the relation between mutual fund performance and fund flows in Korean market using weekly and monthly data. The results are as follows. First, the relation between the two variables varies across fund types. Even the relations in equity fund and index fund are different from each other. Second, the structural change in the mutual fund market affect significantly the relation between the two variables. Third, return chasing flow is observed constantly in bond fund and it is observed only after the structural change for equity fund and MMF. However, no return chasing flow is observed for index fund. Fourth, mutual fund flows affect subsequent fund returns only in MMF after the structural change.

본 연구에서는 4개 뮤추얼펀드 유형을 대상으로 한국시장에서의 펀드 성과와 펀드 현금흐름 간의 관계를 분석하였다. 주별 및 월별 자료를 사용한 분석결과는 다음과 같다. 첫 번째, 양자 간의 관계는 펀드의 유형에 따라 다르게 나타나고 있으며, 같은 주식형 펀드인 일반주식형 펀드와 인덱스형 펀드 역시 다른 결과를 보여주고 있다. 두 번째, 양자 간의 관계는 펀드시장의 구조변화 이전/이후 기간에서 다른 양상을 보여 시장의 구조변화가 동 관계에 무시할 수 없는 영향을 미쳤음을 보여주었다. 세 번째, 수익률을 추구하는 현금흐름(return chasing flow)은 채권형 펀드에서 가장 강하게 나타났으며, 일반주식형펀드 및 MMF에서는 구조변화 이후 기간에서만 나타났다. 그러나 인덱스형 펀드에서는 전혀 관측되지 않았다. 네 번째, 펀드현금흐름이 향후의 펀드 성과에 미치는 영향은 오직 MMF에서만, 그리고 구조변화 이후의 기간에서만 관측되었다.

Keywords

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