Timing Abilities of Mutual Funds in Countries of the Central and Eastern Europe


LEMESHKO Oleksandra REJNUŠ Oldřich

Rok publikování 2015
Druh Článek ve sborníku
Konference European Financial Systems 2015: Proceedings of the 12th International Scientific Conference
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Obor Řízení, správa a administrativa
Klíčová slova timing abilities; volatility; liquidity; mutual fund managers; the CEE
Popis Being a part of developing economies with high growth rates and increasing wealth and financial literacy of local population in the recent decade mutual funds from the Central and Eastern Europe have increasingly started to draw investors' attention. However the amount of academic research on performance of local funds is small in comparison to their recent economic importance. Rare existing studies suffer one major drawback - they are structured mainly upon country evidence, thus limiting the possibility to derive some generalized conclusions about overall mutual funds performance on the regional or country group level. This is caused apparently by lack of all necessary and unified data required for conducting of such a research. Notwithstanding such drawback there is a positive evidence of abnormal returns generated by local funds. In this context the paper aims to test the performance of domestic equity mutual funds from advanced and frontier emerging economies of the Central and Easter Europe for market timing ability. Following established practice mutual funds market timing ability will be tested from three perspectives – market return, market volatility and market liquidity – using data on domestic active and inactive equity mutual funds daily and monthly returns collected from Bloomberg and classified into three groups according to Wiesenberger objective code. Application of such approach gives a threefold result: (1) it allows to reveal and to define the type of timing performed by local funds (return-, volatility- or liquidity-induced); (2) to perform their international comparison with mutual funds from other regions or groups of advanced and emerging economies; and (3) by decomposing the sample into advanced and frontier emerging economies, it allows to track differences across development stages and document important country and regional characteristics.
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