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Timing abilities of Croatian mutual funds: A threshold regression approach

Tihana Škrinjarić

Fulltext: english, pdf (441 KB) pages 139-152 downloads: 326* cite
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. Retrieved from 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, no. 2, 2015, pp. 139-152. https://hrcak.srce.hr/149152. Accessed 17 Sep. 2021.
Chicago 17th Edition
Škrinjarić, Tihana. "Timing abilities of Croatian mutual funds: A threshold regression approach." Zbornik Ekonomskog fakulteta u Zagrebu 13, no. 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), pp. 139-152. Available at: https://hrcak.srce.hr/149152 (Accessed 17 September 2021)
Vancouver
Škrinjarić T. Timing abilities of Croatian mutual funds: A threshold regression approach. Zbornik Ekonomskog fakulteta u Zagrebu [Internet]. 2015 [cited 2021 September 17];13(2):139-152. Available from: 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, no. 2, pp. 139-152, 2015. [Online]. Available: https://hrcak.srce.hr/149152. [Accessed: 17 September 2021]

Abstracts
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.

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

Hrčak ID: 149152

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

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