Impact of Macro Economic Variables and Information Asymmetry on Mutual Fund's AUM in India; A VECM and E- GARCH Analysis

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 observed manifold expansion over a few decades with Assets Under Management of 10 trillion. This research uses the Vector Error Correction Model (VECM) and the E-GARCH model on a 10-year monthly data set from 2012 to 2022 to detect information asymmetry and evaluate the impact of macroeconomic conditions on the AUM of different mutual fund types. It is found that the role of macroeconomic factors is noteworthy 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.