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THE INFLUENCE OF STOCK MARKET RETURNS ON THE RATIO OF EQUITY IN MUTUAL FUNDS PORTFOLIO: CAUSALITY ANALYSIS

Year 2020, Volume: 3 Issue: 1, 24 - 35, 15.01.2020

Abstract

Mutual funds
which enable savers to evaluate their savings in the capital markets in a more
professional way, are established on the basis of fiduciary property and for
the operation of portfolios consisting of the assets specified in the
regulation. In Turkey, funds used to be classified as type A and B based on the
stock weight in their portfolios. But they have been subdivided under the name
of Umbrella Fund with the new communiqué published in 2013. This study analyzes
the causality relationship between the stock weight in the total portfolios of
funds and the stock market index returns. The main objective is to examine
whether the movements in the index have an effect on the portfolio allocation
of funds within the symmetric and asymmetric causalities. The study includes
174 monthly data for the period of January 2005 - June 2019. The data set
consists of the stock ratio of mutual funds portfolios and the logharitm of
monthly average value of BIST-100 index. Symmetric and asymmetric causality
tests were used as the analysis method. The findings indicate that there is no
causal relationship between the movements in the stock market index and the
share ratio in the portfolio distribution.

References

  • Alexander, G. J., & Stover, R. D. (1980). Consistency of mutual fund performance during varying market conditions. Journal of Economics and Business, 32(3), 219-226.
  • Bhargava, A. (1986). On the theory of testing for unit roots in observed time series. The Review of Economic Studies, 53(3), 369-384.
  • Bogle, J.C. (2005). The mutual fund ındustry 60 years later: for better or worse?, Financial Analysts Journal, 61:1, 15-24,
  • Chen, H., Jegadeesh, N., Wermers, R. (2000). The value of active mutual fund management: an examination of the stockholdings and trades of fund managers. Journal of Financial and Quantitative Analysis, 35, 343–368.
  • Dickey, D. A. & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 49(4), 1057-1072.
  • Edelen, R. M., Ince, O. S., & Kadlec, G. B. (2016). Institutional investors and stock return anomalies. Journal of Financial Economics, 119(3), 472–488.
  • Fabozzi, F. J., & Francis, J. C. (1979). Mutual fund systematic risk for bull and bear markets: an empirical examination. The Journal of Finance, 34(5), 1243-1250.
  • Gompers, P. A., & Metrick, A. (2001). Institutional Investors and Equity Prices. The Quarterly Journal of Economics, 116(1), 229–259.
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 424-438.
  • Granger C. W., Yoon, G. (2002). Hidden cointegration. Department of Economics Working Paper. University of California, San Diego
  • Grinblatt, M., Titman, S., & Wermers, R. (1995). Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior. The American Economic Review,85(5), 1088-1105
  • Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical Analysis, 43(1): 447-456
  • Matriks, Matriks Veri Terminali, 05.11.2019
  • Ng, S. & Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power, Econometrica, 69(6), 1519-1554.
  • Phillips, P. CB. (1987). Time series regression with a unit root. Econometrica, 55(2), 277-301.
  • Phillips, P. CB & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  • Portföy Yönetim Şirketleri ve Bu Şirketlerin Faaliyetlerine İlişkin Esaslar Tebliği, SPKn, III-55.1, http://mevzuat.spk.gov.tr/, 15.08.2019
  • SPK Aylık İstatistik Bültenleri, https://spk.gov.tr/SiteApps/Yayin/AylikIstatistikBultenleri, 10.10.2019
  • SPK, http://spk.gov.tr, 10.10.2019
  • TCMB Elektronik Veri Dağıtım Sistemi, http://evds.tcmb.gov.tr, 10.10.2019
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250.
  • Treynor, J., & Mazuy, K. (1966). Can mutual funds outguess the market. Harvard Business Review, 44(4), 131-136.
  • Yatırım Fonlarına İlişkin Esaslar Teblği, SPKn, III-52.1, http://mevzuat.spk.gov.tr/, 15.08.2019

BORSA ENDEKS GETİRİSİNİN YATIRIM FONLARI PORTFÖYÜNDEKİ PAY SENEDİ ORANINA ETKİSİ: NEDENSELLİK ANALİZİ

Year 2020, Volume: 3 Issue: 1, 24 - 35, 15.01.2020

Abstract

Tasarruf sahiplerinin birikimlerini daha profesyonel şekilde sermaye
piyasalarında değerlendirmelerini sağlayan yatırım fonları, inançlı mülkiyet
esasına göre ve tüzüğünde belirtilen varlıklardan oluşan portföylerin
işletilmesi için kurulan, tüzel kişiliği olmayan mal varlıklarıdır. Daha
önceden portföylerindeki hisse senedi ağırlığına bağlı olarak A ve B tipi
şeklinde sınıflandırılan fonlar, 2013 yılında yayımlanan yeni tebliğle birlikte
Şemsiye Fon adı altında altsınıflara ayrılmıştır. Bu çalışmada, yatırım
fonlarının türüne bakılmaksızın, toplam portföylerindeki hisse senedi ağırlığı
ile borsa endeksi arasındaki nedensellik ilişkisi incelenmektedir. Burada temel
amaç, borsa endeksindeki hareketlerin, yatırım fonlarının portföy dağılımında
etkisinin olup olmadığını, aralarındaki simetrik ve asimetrik nedensellik
ilişkisi çerçevesinde incelemektir. Çalışma, Ocak 2005 - Haziran 2019 dönemine
ait 174 aylık veriyi kapsamaktadır. Veri setini yatırım fonlarının portföylerindeki
hisse senedi oranı ile BİST-100 endeksi aylık ortalama değerinden oluşan zaman
serileri oluşturmaktadır. Analiz yöntemi olarak simetrik ve asimetrik
nedensellik testleri uygulanmıştır. Elde edilen bulgular portföy dağılımındaki
pay senedi oranında borsa endeksindeki hareketlerle nedensellik ilişkisi
olmadığını ortaya koymaktadır.

References

  • Alexander, G. J., & Stover, R. D. (1980). Consistency of mutual fund performance during varying market conditions. Journal of Economics and Business, 32(3), 219-226.
  • Bhargava, A. (1986). On the theory of testing for unit roots in observed time series. The Review of Economic Studies, 53(3), 369-384.
  • Bogle, J.C. (2005). The mutual fund ındustry 60 years later: for better or worse?, Financial Analysts Journal, 61:1, 15-24,
  • Chen, H., Jegadeesh, N., Wermers, R. (2000). The value of active mutual fund management: an examination of the stockholdings and trades of fund managers. Journal of Financial and Quantitative Analysis, 35, 343–368.
  • Dickey, D. A. & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 49(4), 1057-1072.
  • Edelen, R. M., Ince, O. S., & Kadlec, G. B. (2016). Institutional investors and stock return anomalies. Journal of Financial Economics, 119(3), 472–488.
  • Fabozzi, F. J., & Francis, J. C. (1979). Mutual fund systematic risk for bull and bear markets: an empirical examination. The Journal of Finance, 34(5), 1243-1250.
  • Gompers, P. A., & Metrick, A. (2001). Institutional Investors and Equity Prices. The Quarterly Journal of Economics, 116(1), 229–259.
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 424-438.
  • Granger C. W., Yoon, G. (2002). Hidden cointegration. Department of Economics Working Paper. University of California, San Diego
  • Grinblatt, M., Titman, S., & Wermers, R. (1995). Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior. The American Economic Review,85(5), 1088-1105
  • Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical Analysis, 43(1): 447-456
  • Matriks, Matriks Veri Terminali, 05.11.2019
  • Ng, S. & Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power, Econometrica, 69(6), 1519-1554.
  • Phillips, P. CB. (1987). Time series regression with a unit root. Econometrica, 55(2), 277-301.
  • Phillips, P. CB & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
  • Portföy Yönetim Şirketleri ve Bu Şirketlerin Faaliyetlerine İlişkin Esaslar Tebliği, SPKn, III-55.1, http://mevzuat.spk.gov.tr/, 15.08.2019
  • SPK Aylık İstatistik Bültenleri, https://spk.gov.tr/SiteApps/Yayin/AylikIstatistikBultenleri, 10.10.2019
  • SPK, http://spk.gov.tr, 10.10.2019
  • TCMB Elektronik Veri Dağıtım Sistemi, http://evds.tcmb.gov.tr, 10.10.2019
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1-2), 225-250.
  • Treynor, J., & Mazuy, K. (1966). Can mutual funds outguess the market. Harvard Business Review, 44(4), 131-136.
  • Yatırım Fonlarına İlişkin Esaslar Teblği, SPKn, III-52.1, http://mevzuat.spk.gov.tr/, 15.08.2019
There are 23 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Articles
Authors

Onur Oğuz 0000-0001-5492-0038

Publication Date January 15, 2020
Published in Issue Year 2020 Volume: 3 Issue: 1

Cite

APA Oğuz, O. (2020). BORSA ENDEKS GETİRİSİNİN YATIRIM FONLARI PORTFÖYÜNDEKİ PAY SENEDİ ORANINA ETKİSİ: NEDENSELLİK ANALİZİ. Uluslararası Ekonomi Siyaset İnsan Ve Toplum Bilimleri Dergisi, 3(1), 24-35.

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