Comparative Analysis of Cash Flows Sensitivity to Russian Stock and Bond Funds Performance

The work is devoted to the study of the investors’ behavior of Russian stocks and bonds mutual funds, depending on the situation on the Russian stock market. The purpose of the diploma work is to analyze the relationship between the financial flows to the mutual fund industry of stocks and bonds of the Russian Federation, the efficiency of the Russian stock market, as well as a number of macroeconomic indicators. The practical significance of the final qualification work is the possibility of using the results of the work in the activities of management companies of mutual funds of stocks and bonds, as well as for further research within the chosen topic. To conduct an empirical analysis, two samples were used, depending on the investment object of open mutual funds – a sample of equity funds (232 funds) and bond funds (183 funds). Both samples were analyzed for the period 2015-2021 with different data frequency – daily, weekly and monthly intervals were taken. In addition to cash flow indicators and indicators of current and lagged market returns, factors such as the dynamics of the Brent oil price and the dynamics of the CBONDS index (for bond funds) were added to the vector autoregression model, which estimates the relationship between the parameters of the securities market and the attraction of financial resources to funds.