Modeling the Size of the Mutual Fund Industry in Countries of Central and Eastern Europe

Lemeshko, Oleksandra; Rejnuš, Oldřich

doi:10.5817/fai2015-1-1

Cited by 6 publications

(4 citation statements)

References 59 publications

(66 reference statements)

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“…As far as the returns of mutual funds are concerned Filip (2017b) noticed that they present smaller fluctuations in comparison with the stock indexes in the Czech Republic, Hungary and Poland in the period 2000-2015. The analysis of the influencing factors of the mutual funds industry reconfirm the macroeconomic factors (GDP, governance, financial markets development) and the microeconomic factors (propensity towards risks, cultural openness to capital trade) as determinants in the industry's evolution (Lemeshko & Rejnus, 2015).…”

Section: Literature Reviewmentioning

confidence: 87%

“…The studies that looked at the mutual funds in Central and Eastern Europe, focused on aspects such as the performance of mutual funds (Filip, 2017a;Filip 2017b), the identification and the analysis of the factors affecting the development of mutual funds in the region (Bajus & Stasova, 2015;Lemeshko & Rejnus, 2015). As far as the returns of mutual funds are concerned Filip (2017b) noticed that they present smaller fluctuations in comparison with the stock indexes in the Czech Republic, Hungary and Poland in the period 2000-2015.…”

Section: Literature Reviewmentioning

confidence: 99%

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Performance risk analysis on mutual funds versus stock exchanges in young financial markets

Nicolescu¹,

Tudorache²,

Androniceanu³

2020

Journal of International Studies

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Financial markets play an important role in the economies of the world as they are supporting economic development. The present paper focuses on the young financial markets of Central and Eastern Europe with the focus on three selected cases: Romania, Slovakia and Hungary. In these countries, the capital markets are studied through the assessment of performances and risks associated with mutual funds by comparison with stock exchanges. Statistical documentation and statistical empirical research were used in order to compare mutual funds' evolution with the stock markets' evolution. The period of analysis also comprised the global financial and economic crisis, with obvious consequences on the results of the analysis. Among the main findings of the study are: mutual funds performed better (both in terms of returns and risks) than stock exchanges in the periods of economic turmoil; a movement from investing in highrisk assets (equity) towards investing in low-risk assets (bonds and monetary assets) takes place in the periods of economic distress; there were more similarities than differences in the evolutions of mutual funds and stock exchanges in these three countries, illustrating common characteristics at the

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Section: Literature Reviewmentioning

confidence: 87%

Section: Literature Reviewmentioning

confidence: 99%

Performance risk analysis on mutual funds versus stock exchanges in young financial markets

Nicolescu¹,

Tudorache²,

Androniceanu³

2020

Journal of International Studies

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“…Jank (2012) finds GDP growth and bond returns to be relevant to mutual fund flows which are associated with returns. Lemeshko and Rejnus (2015) find openness to foreign trade and investments, development and stability of financial and capital markets, governance structure as also government debt to be especially important for developing markets in terms of mutual fund performance. Recent research finds that macroeconomic and global factors affect different stock markets differently (Bahloul and Amor, 2021; Duong et al , 2021; Moussa and Delhoumi, 2021) and that stock illiquidity is associated with economic policy uncertainty (Zhang et al , 2021).…”

Section: Introductionmentioning

confidence: 99%

Impact of economic and market factors on the market liquidity timing ability of mutual fund managers in Turkey

Yalcin

Dube

2021

IJOEM

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PurposeThe authors examine whether Turkish fund managers employ liquidity timing along with market return timing, and if additional economic and market factors could affect their timing abilities, to help explain the contradictory results in literature vis-a-vis market timing ability.Design/methodology/approachThe authors apply panel data analyses, with interaction terms and incorporating structural breaks, to monthly data for 96 out of 131 Turkish variable mutual funds which have available data for the sample period of 2011–2018. The authors employ the Amihud (2002) illiquidity measure to study market liquidity timing ability along with how additional economic and market factors affect this ability.FindingsThe authors find liquidity timing to be the performance enhancing method employed by Turkish variable fund managers in conjunction with market timing and that evidence for market timing may depend on whether structural breaks, that may be present in returns, are incorporated in the analysis. The authors also find that economic, technology and market-related factors affect timing abilities of fund managers.Research limitations/implicationsConclusions are for Turkey, for the sample period studied, and for the control factors selected based on literature.Practical implicationsIt is important to understand the role of market liquidity in making investment decisions and the paper contributes toward an understanding of how managers design their timing strategies in order to enhance portfolio performance, as well as the impact of additional factors on their ability to time market returns and liquidity. This is also important for evaluating fund managers' performance in terms of contribution to portfolio value.Originality/valueTo the authors knowledge this is the first study on Turkish markets to employ liquidity timing in the context of panel data analyses using interaction terms, as well as structural breaks, to distinguish the extent of liquidity timing from return timing, while incorporating the effect of additional factors on timing ability.

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“…; Sirri and Tufano (1998); Ferreira et al (2012); Barber et al (2016); Rao et al (2017); Goel et al (2012) H2: The risk of the mutual fund has an indirect and negative influence on net subscriptions in the fund The net subscriptions in mutual funds increase with the decrease of the risk associated to them Chovancova and Zofcak (2012); Sirri and Tufano (1998); Barber et al (2016); Devaney et al (2016); Clifford et al (2013); Spuchľakova et al (2015); Rao et al (2017); Filip (2020); Awan and Arshad (2012) H3: The new capital attracted by the fund has a direct and positive influence on net subscriptions in the fund The net subscriptions in mutual funds increase with the growth in the previously attracted capital in the fund Agnesens (2013); Sirri and Tufano (1998); Phillips et al (2016); Benson et al (2008); Clifford et al (2013) H4: The capital infusion in the fund category has a direct and positive influence on net subscriptions in the fund The net subscriptions in mutual funds increase with an increased capital infusion in the fund category of the considered fund Agnesens (2013); Lemeshko and Rejnus (2015a); Sirri and Tufano (1998); Benson et al (2008); Ferreira et al (2012); Benson et al (2008) H5: The rank of the fund in its fund category has a direct and positive influence on net subscriptions in the fund H6: The square rank of the fund in its fund category has a direct and positive influence on net subscriptions in the fundThe net subscriptions in mutual funds increase with improvement of the rank of the fund in its category. The net subscriptions in mutual funds increase with improvement of the square rank of the fund in its category (higher level of sensitivity)Agnesens (2013); Rejnus (2015a, 2015b);Sirri and Tufano (1998);Chen and Qin (2015);Benson et al (2008) H7: Investors from CEE (Romania, Slovakia and Hungary) have similar investment behaviours Investors from Romania, Slovakia and Hungary take into consideration the same factors when taking the decision to invest and they prefer the same type of funds to invest in Dragot a et al (2016);Erdos and Ormos (2009);Filip (2014);Lemeshko and Rejnus, (2015a);Horobeț and Belas , cu (2015) …”

mentioning

confidence: 99%

Investment behaviour in mutual funds: is it a knowledge-based decision?

Nicolescu

Tudorache

2020

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Purpose This paper aims to make an analysis of investment behaviour in mutual funds, by looking at different investment decision influencers and trying to identify the extent to which the investment decision is knowledge-based. The paper has three main purposes, namely, to assess the degree to which the considered factors influence investment decision-making in young capital markets from Central and Eastern Europe (CEE); to compare the investment behaviour in the three considered countries; and to characterise investment behaviour in periods of economic turbulence. Design/methodology/approach The researchers considered a model of investment behaviour comprising six influencing factors. Inferential statistics through multiple linear regression was applied using the MATLAB R2014a software. The decision to invest was measured by the flow of new capital attracted by the fund (dependent variable) and the considered influencing factors (independent variables) were: the size of the fund, the risk associated to the fund, the growth of the fund, the growth of the fund category, the performance of the fund in its category. The research was conducted in Romania, Slovakia and Hungary. The period of study included the global economic crisis of 2007-2008. Findings The results illustrated that all considered factors do have an influence on the investment behaviour of investors in CEE, but with different levels of impact. The study concludes that the investment decision is partially knowledge-based, as investors in the region consider only some of the available information when making the decision to invest. Investment behaviour of investors in CEE is rather similar than dissimilar when deciding to invest in mutual funds. However, based on the differences between countries, it can be stated that the Hungarian investor is more mature and more informed than the others, when making investment decisions. Originality/value The study contributes to the exiting literature through the analysis of investment behaviour in young capital markets that are less studied in the literature. The limited number of studies considering mutual funds, usually comprise one fund category, while the present research considers all five most prevalent mutual funds categories for the studied period. It also contributed by collecting data from a less studied geographical region, CEE with three specific case studies, namely, Romania, Slovakia and Hungary that are looked at in a comparative manner.

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Modeling the Size of the Mutual Fund Industry in Countries of Central and Eastern Europe

Cited by 6 publications

References 59 publications

Performance risk analysis on mutual funds versus stock exchanges in young financial markets

Performance risk analysis on mutual funds versus stock exchanges in young financial markets

Impact of economic and market factors on the market liquidity timing ability of mutual fund managers in Turkey

Investment behaviour in mutual funds: is it a knowledge-based decision?

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