A Study on Impact of Macro-Economic Variables and Information Asymmetry on the Aum of Various Kinds of Mutual Fund Schemes in India: A Vecm and E- Garch Model Approach
Priyank kulshreshtha1, K. Santi Swarup2, Swami Prasad Saxena3
1Priyank Kulshreshtha, Department of Management, Dayalbagh Educational Institute Dayalbagh Agra, India.
2Prof. K. Santi Swarup, Department of Management, Dayalbagh Educational Institute Dayalbagh Agra, India.
3Prof. Swami Prasad Saxena, Department of Applied Business Economics, Dayalbagh Educational Institute Dayalbagh Agra, India.
Manuscript received on 17 February 2023 | Revised Manuscript received on 10 March 2023 | Manuscript Accepted on 15 May 2023 | Manuscript published on 30 May 2023 | PP: 26-35 | Volume-3 Issue-1, May 2023 | Retrieval Number: 100.1/ijef.B2552113223 | DOI : 10.54105/ijef.B2552.03010523
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Abstract: Macroeconomic risks can create disruptions among various asset classes globally and has potential to affect investors perception towards any investment alternative and mutual funds in India are not an exception to this. It is one of the burgeoning investment alternatives in India which has witnessed manifold growth in couple of decades with AUM of ₹10 trillion. In this study, an attempt has been made to assess the impact of macro- economic variables on the AUM of various kinds of mutual funds and to trace the existence of information asymmetry by applying Vector Error Correction Model and E- GARCH model on a 10-year monthly data from 2012 to 2022. It is found that Macro- economic variables play a significant role in explaining the variations of AUM in various types of mutual funds. Information asymmetry exists in all kinds of mutual funds except Equity and Debt oriented open-ended schemes. Macroeconomic risks can create disruptions among various asset classes globally and has potential to affect investors perception towards any investment alternative and mutual funds in India are not an exception to this. It is one of the burgeoning investment alternatives in India which has witnessed manifold growth in couple of decades with AUM of ₹10 trillion. In this study, an attempt has been made to assess the impact of macro- economic variables on the AUM of various kinds of mutual funds and to trace the existence of information asymmetry by applying Vector Error Correction Model and E- GARCH model on a 10-year monthly data from 2012 to 2022. It is found that Macro- economic variables play a significant role in explaining the variations of AUM in various types of mutual funds. Information asymmetry exists in all kinds of mutual funds except Equity and Debt oriented open-ended schemes.
Keywords: Macroeconomic, Risk, AUM, Vector Error Correction Model, E- GARCH Model
Scope of the Article: Economics