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Evolution of Mutual Funds in Romania: Performance and Risks

Author

Listed:
  • Tudorache Florentin Gabriel

    (PhD Candidate, Faculty of International Business and Economics, Academy of Economic Studies, Bucharest)

  • Luminiţa Nicolescu

    (Faculty of International Business and Economics, Academy of Economic Studies, Bucharest)

  • Radu Lupu

    (Faculty of International Business and Economics, Academy of Economic Studies, Bucharest. Corresponding author.)

Abstract

The evolution of mutual funds and their inflows and outflows is seen as a good indicator for the financial markets of different countries. There were numerous studies, mainly conducted in the US, which illustrated that flows were highly dependent on the previous performance. This paper envisaged to study the flows of funds into and out of Romanian mutual funds during the 2007-2014 period. An analysis of the relative performance of the funds was developed by using the methodology set forth by Sirri and Tufano (1998), in which we monitor the dynamics of money invested in the funds as we move from one month to the next. The regression results show that the performance may be characterized by the factors (log of the size for the fund in the previous month, standard deviation of monthly funds returns in the previous month, previous period flows, the percentage growth in the new money, the rank, the square rank) taken into account with p-values for the F-test that exceed the 5%.

Suggested Citation

  • Tudorache Florentin Gabriel & Luminiţa Nicolescu & Radu Lupu, 2015. "Evolution of Mutual Funds in Romania: Performance and Risks," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 180-197, December.
    • Handle: RePEc:rjr:romjef:v::y:2015:i:4:p:180-197
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    References listed on IDEAS

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    Cited by:

    1. Dan-Constantin Dănuleţiu & Adina-Elena Dănuleţiu, 2017. "Aspects Regarding Romanian Mutual Funds Market in 2007-2016," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 17(1), pages 55-66.
    2. Nicolescu Luminiţa & Tudorache Florentin Gabriel, 2018. "Romania, Slovakia and Hungary: evolution of mutual funds in recent years," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 12(1), pages 695-710, May.
    3. Nicolescu Luminiţa & Tudorache Florentin Gabriel, 2017. "Capital markets in Central and Eastern Europe: two selected cases," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 11(1), pages 597-606, July.
    4. Dariusz FILIP, 2020. "Are Fund Attributes Risk Drivers? Evidence for the Polish Mutual Funds," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 22-36, March.
    5. Luminiţa NICOLESCU & Florentin Gabriel TUDORACHE, 2016. "The Evolution of Non-Banking Financial Markets in Hungary: The Case of Mutual Funds," Management Dynamics in the Knowledge Economy, College of Management, National University of Political Studies and Public Administration, vol. 4(4), pages 591-621, December.

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    More about this item

    Keywords

    capital market; mutual funds performance evaluation; investors’ behaviour; Romania;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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