Evolution of Mutual Funds in Romania: Performance and Risks

Tudorache Florentin Gabriel (), Luminita Nicolescu and Radu Lupu ()
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Tudorache Florentin Gabriel: PhD Candidate, Faculty of International Business and Economics, Academy of Economic Studies, Bucharest

Journal for Economic Forecasting, 2015, issue 4, 180-197

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%.

Keywords: capital market; mutual funds performance evaluation; investors’ behaviour; Romania (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2015:i:4:p:180-197

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