DYNAMIC TIMING OF INVESTMENT FUNDS MARKET IN CROATIA: ROLLING REGRESSION APPROACH

Ana Skrlec () and Tihana Škrinjarić
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Ana Skrlec: PricewaterhouseCoopers Savjetovanje d.o.o.

Economic Thought and Practice, 2019, vol. 28, issue 1, 127-155

Abstract: Investors in stock markets have to continuously re-evaluate their investment strategies due to on-going changes on the markets. Thus, investors are able to achieve their goals more quickly. This paper, for the first time in Croatia, analyses mutual funds from a geographical aspect of funds’ investments with a dynamic approach of estimating a market timing model. Therefore, the defensiveness/aggressiveness of a fund, as well as good/bad market timing over time is observed. The results of the analysis on 16 Croatian funds (for different time spans, due to data availability) indicate that parameters in market timing models do change over time. This means that the dynamic approach should be taken when evaluating mutual fund performance and market timing. At the end of the analysis a general guidance is given for potential investors as well as suggestions how to adjust their investment strategies.

Keywords: market timing; dynamic models; rolling regression; mutual funds (search for similar items in EconPapers)
JEL-codes: C22 G11 G23 (search for similar items in EconPapers)
Date: 2019
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