A tournament analysis of mutual funds in Turkey
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Date
2012
Authors
Erdem, Orhan
Journal Title
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Volume Title
Publisher
Bilgesel Yayincilik San & Tic Ltd
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Abstract
This is an analysis of the mutual funds in Turkey with respect to their risk-altering behavior Using the monthly returns and volatilities of 133 funds from 2002 to 2007 we divide each year in two parts and check whether or not the funds' performance in the first part affects the behavior of mutual fund companies in the second part in terms of risk. We find sufficient evidence that the funds which have lower/higher performance in the first part of the year have higher/lower risk appetite for the second half of the year: The results have stronger significance if the year is divided from June or July. The results from the Turkish mutual funds market are generally in line with previous literature from developed countries.
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Keywords
Portfolio risk, Mutual funds, Emerging markets
Turkish CoHE Thesis Center URL
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Citation
0
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N/A
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N/A
Source
Volume
27
Issue
321
Start Page
39
End Page
56