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 have the potential to affect investors’ perceptions towards any investment alternative. 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 over the past couple of decades, with an AUM of ₹10 trillion. In this study, an attempt has been made to assess the impact of macroeconomic variables on the assets under management (AUM) of various types of mutual funds and to investigate the existence of information asymmetry by applying the Vector Error Correction Model (VECM) and the Exponential Generalised Autoregressive Conditional Heteroskedasticity (EGARCH) model to 10 years of monthly data from 2012 to 2022. It is found that macroeconomic variables play a significant role in explaining the variations in AUM across various types of mutual funds. Information asymmetry exists in all kinds of mutual funds, except for equity and debt-oriented open-ended schemes.
Keywords: Macroeconomic, Risk, AUM, Vector Error Correction Model, E- GARCH Model
Scope of the Article: Economics