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EQUITY INVESTMENT STRATEGIES: THE CASE OF CROATIA

Tajana Barbić
Iva Čondić -Jurkić


Puni tekst: engleski pdf 299 Kb

str. 63-77

preuzimanja: 1.351

citiraj


Sažetak

This paper aims to analyze an investment strategy employed by particular equity investment fund in Croatia, i.e. to detect the fraction of passive funds which claim to be active. In order to test for bilateral long-run co-movements between fifteen selected mutual funds and CROBEX in time period from their start to the end of 2009, we use bivariate Johansen cointegration procedure. Results reveal that most of the Croatian equity funds share long run comovements with benchmark equity market index, representing the "closet indexers". Obtained results are to some extent unexpected given spotted inefficiencies on Croatian equity market that should have been exploited by active stock pickers.

Ključne riječi

investment approach; market efficiency; equity investment funds; cointegration

Hrčak ID:

63242

URI

https://hrcak.srce.hr/63242

Datum izdavanja:

1.12.2010.

Podaci na drugim jezicima: hrvatski

Posjeta: 3.206 *