Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Long-Term Relationships Between Mutual Funds and Equity Market

Long-Term Relationships Between Mutual Funds and Equity Market AbstractInvestment funds are an attractive form of investment, especially for those investors who do not want to invest on their own, but rather entrust their funds to professional managers. However, the question arises as to whether the fund managers can diversify the asset portfolio, or whether it is only a passive investment policy that largely imitates the stock market index. In this context, it becomes important to examine the long-term relationships between open-ended equity funds and the funds’ benchmarks (stock exchange indices). This study analyses series of weekly quotations for 15 FIOs and 4 indices of the Warsaw Stock Exchange (WSE) from 2004 to 2021. The Johansen method was used as the main tool. The results indicate a lack of long-term relationships between the quotations of the selected indices and the valuation of the vast majority of funds. This result may be due to the analysis covering quite a long period in which the stock exchange situation changed more than once. In the long-term, this may result in disturbances of the long-term balance to such an extent that the relation can no longer return to its long-term path, so the vast majority of the analysed funds do not follow the indices (their benchmarks). This observation can apply to both developed and emerging capital markets. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png South East European Journal of Economics and Business de Gruyter

Long-Term Relationships Between Mutual Funds and Equity Market

Long-Term Relationships Between Mutual Funds and Equity Market

South East European Journal of Economics and Business , Volume 17 (1): 13 – Jun 1, 2022

Abstract

AbstractInvestment funds are an attractive form of investment, especially for those investors who do not want to invest on their own, but rather entrust their funds to professional managers. However, the question arises as to whether the fund managers can diversify the asset portfolio, or whether it is only a passive investment policy that largely imitates the stock market index. In this context, it becomes important to examine the long-term relationships between open-ended equity funds and the funds’ benchmarks (stock exchange indices). This study analyses series of weekly quotations for 15 FIOs and 4 indices of the Warsaw Stock Exchange (WSE) from 2004 to 2021. The Johansen method was used as the main tool. The results indicate a lack of long-term relationships between the quotations of the selected indices and the valuation of the vast majority of funds. This result may be due to the analysis covering quite a long period in which the stock exchange situation changed more than once. In the long-term, this may result in disturbances of the long-term balance to such an extent that the relation can no longer return to its long-term path, so the vast majority of the analysed funds do not follow the indices (their benchmarks). This observation can apply to both developed and emerging capital markets.

Loading next page...
 
/lp/de-gruyter/long-term-relationships-between-mutual-funds-and-equity-market-rx5C0XCFo0
Publisher
de Gruyter
Copyright
© 2022 Aleksandra Matuszewska-Janica et al., published by Sciendo
ISSN
2233-1999
eISSN
2233-1999
DOI
10.2478/jeb-2022-0010
Publisher site
See Article on Publisher Site

Abstract

AbstractInvestment funds are an attractive form of investment, especially for those investors who do not want to invest on their own, but rather entrust their funds to professional managers. However, the question arises as to whether the fund managers can diversify the asset portfolio, or whether it is only a passive investment policy that largely imitates the stock market index. In this context, it becomes important to examine the long-term relationships between open-ended equity funds and the funds’ benchmarks (stock exchange indices). This study analyses series of weekly quotations for 15 FIOs and 4 indices of the Warsaw Stock Exchange (WSE) from 2004 to 2021. The Johansen method was used as the main tool. The results indicate a lack of long-term relationships between the quotations of the selected indices and the valuation of the vast majority of funds. This result may be due to the analysis covering quite a long period in which the stock exchange situation changed more than once. In the long-term, this may result in disturbances of the long-term balance to such an extent that the relation can no longer return to its long-term path, so the vast majority of the analysed funds do not follow the indices (their benchmarks). This observation can apply to both developed and emerging capital markets.

Journal

South East European Journal of Economics and Businessde Gruyter

Published: Jun 1, 2022

Keywords: financial market; funds; long-run relationships; cointegration; C22; G23; E22

There are no references for this article.