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Timing abilities of Croatian mutual funds: A threshold regression approach

Tihana Škrinjarić

Puni tekst: engleski, pdf (441 KB) str. 139-152 preuzimanja: 326* citiraj
APA 6th Edition
Škrinjarić, T. (2015). Timing abilities of Croatian mutual funds: A threshold regression approach. Zbornik Ekonomskog fakulteta u Zagrebu, 13 (2), 139-152. Preuzeto s https://hrcak.srce.hr/149152
MLA 8th Edition
Škrinjarić, Tihana. "Timing abilities of Croatian mutual funds: A threshold regression approach." Zbornik Ekonomskog fakulteta u Zagrebu, vol. 13, br. 2, 2015, str. 139-152. https://hrcak.srce.hr/149152. Citirano 25.09.2021.
Chicago 17th Edition
Škrinjarić, Tihana. "Timing abilities of Croatian mutual funds: A threshold regression approach." Zbornik Ekonomskog fakulteta u Zagrebu 13, br. 2 (2015): 139-152. https://hrcak.srce.hr/149152
Harvard
Škrinjarić, T. (2015). 'Timing abilities of Croatian mutual funds: A threshold regression approach', Zbornik Ekonomskog fakulteta u Zagrebu, 13(2), str. 139-152. Preuzeto s: https://hrcak.srce.hr/149152 (Datum pristupa: 25.09.2021.)
Vancouver
Škrinjarić T. Timing abilities of Croatian mutual funds: A threshold regression approach. Zbornik Ekonomskog fakulteta u Zagrebu [Internet]. 2015 [pristupljeno 25.09.2021.];13(2):139-152. Dostupno na: https://hrcak.srce.hr/149152
IEEE
T. Škrinjarić, "Timing abilities of Croatian mutual funds: A threshold regression approach", Zbornik Ekonomskog fakulteta u Zagrebu, vol.13, br. 2, str. 139-152, 2015. [Online]. Dostupno na: https://hrcak.srce.hr/149152. [Citirano: 25.09.2021.]

Sažetak
Market-timing abilities of mutual funds are an issue which has been extensively researched on different markets all over the world. Henriksson-Merton model is a usual way to empirically test for presence of those abilities. However, researchers assume that all of the funds are characterized with the same threshold value in the Henriksson-Merton model framework. This paper goes beyond the simple assumption of the zero value of the threshold in the mentioned model. Main question in the research is whether each fund has its own threshold value. The paper tests for individual threshold effects for a sample of 27 mutual funds in Croatia for the period June 1st 2012 to May 27th 2014. The results indicate that each fund has its own threshold value in the model, but only 7 funds exhibit market-timing strategies.

Ključne riječi
Market-timing strategy; mutual funds; threshold regression; Croatian capital market; Henriksson-Merton model

Hrčak ID: 149152

URI
https://hrcak.srce.hr/149152

Posjeta: 575 *