LONG-TERM RELATIONSHIPS BETWEEN MUTUAL FUNDS AND EQUITY MARKET

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Aleksandra Matuszewska-Janica Dorota Żebrowska-Suchodolska

Abstract

Investment funds are an attractive form of investment, especially for those investors who do not want to invest on their own, but rather entrust their funds to professional managers. However, the question arises as to whether the fund managers can diversify the asset portfolio, or whether it is only a passive investment policy that largely imitates the stock market index. In this context, it becomes important to examine the long-term relationships between open-ended equity funds and the funds’ benchmarks (stock exchange indices). This study analyses series of weekly quotations for 15 FIOs and 4 indices of the Warsaw Stock Exchange (WSE) from 2004 to 2021. The Johansen method was used as the main tool. The results indicate a lack of long-term relationships between the quotations of the selected indices and the valuation of the vast majority of funds. This result may be due to the analysis covering quite a long period in which the stock exchange situation changed more than once. In the long-term, this may result in disturbances of the long-term balance to such an extent that the relation can no longer return to its long-term path, so the vast majority of the analysed funds do not follow the indices (their benchmarks). This observation can apply to both developed and emerging capital markets.

Article Details

How to Cite
Matuszewska-Janica, A., & Żebrowska-Suchodolska, D. (2022). LONG-TERM RELATIONSHIPS BETWEEN MUTUAL FUNDS AND EQUITY MARKET. The South East European Journal of Economics and Business, 17(1), 141-153. Retrieved from http://journal.efsa.unsa.ba/index.php/see/article/view/1798
Section
Scientific and Professional papers: Economics and Business
Author Biographies

Aleksandra Matuszewska-Janica, University of Life Sciences– SGGW

Aleksandra Matuszewska-Janica, PhD
Assistant Professor
Institute of Economics and Finance, Warsaw
University of Life Sciences– SGGW, Poland
E-mail: aleksandra_matuszewska@sggw.edu.pl
ORCID: 0000-0001-9127-6034

Dorota Żebrowska-Suchodolska, University of Life Sciences– SGGW

Dorota Żebrowska-Suchodolska, PhD
(corresponding author)
Assistant Professor
Institute of Economics and Finance, Warsaw
University of Life Sciences– SGGW
Nowoursynowska 166, 02 787 Warszaw, Poland
E-mail: dorota_zebrowska_suchodolska@sggw.edu.pl
ORCID: 0000-0003-1230-6413