Öz
The basic purpose of this study is to evaluation of the performance of mutual funds traded on Borsa Istanbul. The study has four stages. In the first stage, mutual funds returns have been calculated. In the second stage, mutual funds have been determined whether or not there is an abnormal return, in the third stage, the results have been tested statistical significance. In the fourth stage, relationship between mutual funds and BIST100 indices has been determined. In summary, there is abnormal return in the eight mutual funds which is traded in Borsa Istanbul. The abnormal return is statistically significant. In addition, there is a cointegration relationship between mutual funds and BIST100 indices in the long term.
Anahtar Kelimeler
Kaynakça
- Bauer, R., Koedijk, K., &Otten, R. (2005).International evidence on ethical mutual fund performance and investment style. Journal of Banking & Finance,29(7), 1751-1767. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82. Elton, E. J., Gruber, M. J., & Blake, C. R. (1995).The persistence of risk-adjusted mutual fund performance. Elton, E. J., Gruber, M. J., & Blake, C. R. (1996).Survivor bias and mutual fund performance. Review of Financial Studies, 9(4), 1097-1120. Grinblatt, M., & Titman, S. (1992).The persistence of mutual fund performance. The Journal of Finance, 47(5), 1977-1984. Grinblatt, M., Titman, S., &Wermers, R. (1995). Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior.The American economic review, 1088-1105. Hendricks, D., Patel, J., &Zeckhauser, R. (1993). Hot hands in mutual funds: Short‐run persistence of relative performance, 1974–1988. The Journal of finance, 48(1), 93-130. Henriksson, R. D. (1984). Market timing and mutual fund performance: An empirical investigation. Journal of business, 73-96. Jensen, C. M. (1968). The Performance of Mutual Funds in the Period 1945–64. Journal of Finance 23, 389–416. Karacabey, A. A.,&Karatepe Y. (2000). A Tipi YatırımFonlarıPerformansınınYeniBirYöntemKullanılarakDeğerlendirilmesi: Graham-Harvey PerformansTesti, Ankara Üniversitesi SBF Dergisi, 55–2, 55-67. Lehmann, B. N., & Modest, D. M. (1987). Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons. The journal of finance, 42(2), 233-265. Lina, C.T.,&Hsub, S.M., (2008). Determinants of theInitial IPO performance: evidencefrom Hong Kong andTaiwan.Applied Financial Economics, (18), 955–963. Nitzsche, D., Cuthbertson, K., & O'Sullivan, N. (2006).Mutual fund performance. Available at SSRN 955807. Ritter, R. J., (1991). TheLong Run Performans of InitialPublic of Offerrings.TheJournal of Finance, (46), 3-38. Sharpe, W. F. (1966). Mutual fund performance. The Journal of business, 39(1), 119-138. Shi, J.,Bilson, C.,&Powell, J., (2008). ValuationUncertainty Risk Compensationand IPO ProspectusEarningForecasts. AppliedEconomicsLetters, (15),331-335. Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of Finance, 55(4), 1655-1703.
Öz
Çalışmanın temel amacı, Borsa İstanbul’da işlem gören yatırım fonlarının performanslarının değerlendirilmesidir. Çalışma dört aşamadan oluşmaktadır. Birinci aşamada, yatırım fonlarının getirileri hesaplanmıştır. İkinci aşamada, yatırım fonlarının normalüstü getiri sağlayıp sağlayamadığı tespit edilmiştir. Üçüncü aşamada, sonuçların istatistiksel olarak anlamlılığı sınanmıştır. Dördüncü aşamada, yatırım fonları ile BIST100 endeksi arasındaki ilişkinin yönü belirlenmiştir. Sonuç olarak, Borsa İstanbul’da işlem gören 8 yatırım fonunda normalüstü getiri vardır. Normalüstü getiri sonucu istatistiksel olarak anlamlıdır. Ayrıca, BIST100 endeksi ile yatırım fonları arasında uzun dönem eş bütünleşme ilişkisi vardır.
Anahtar Kelimeler
Kaynakça
- Bauer, R., Koedijk, K., &Otten, R. (2005).International evidence on ethical mutual fund performance and investment style. Journal of Banking & Finance,29(7), 1751-1767. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82. Elton, E. J., Gruber, M. J., & Blake, C. R. (1995).The persistence of risk-adjusted mutual fund performance. Elton, E. J., Gruber, M. J., & Blake, C. R. (1996).Survivor bias and mutual fund performance. Review of Financial Studies, 9(4), 1097-1120. Grinblatt, M., & Titman, S. (1992).The persistence of mutual fund performance. The Journal of Finance, 47(5), 1977-1984. Grinblatt, M., Titman, S., &Wermers, R. (1995). Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior.The American economic review, 1088-1105. Hendricks, D., Patel, J., &Zeckhauser, R. (1993). Hot hands in mutual funds: Short‐run persistence of relative performance, 1974–1988. The Journal of finance, 48(1), 93-130. Henriksson, R. D. (1984). Market timing and mutual fund performance: An empirical investigation. Journal of business, 73-96. Jensen, C. M. (1968). The Performance of Mutual Funds in the Period 1945–64. Journal of Finance 23, 389–416. Karacabey, A. A.,&Karatepe Y. (2000). A Tipi YatırımFonlarıPerformansınınYeniBirYöntemKullanılarakDeğerlendirilmesi: Graham-Harvey PerformansTesti, Ankara Üniversitesi SBF Dergisi, 55–2, 55-67. Lehmann, B. N., & Modest, D. M. (1987). Mutual fund performance evaluation: A comparison of benchmarks and benchmark comparisons. The journal of finance, 42(2), 233-265. Lina, C.T.,&Hsub, S.M., (2008). Determinants of theInitial IPO performance: evidencefrom Hong Kong andTaiwan.Applied Financial Economics, (18), 955–963. Nitzsche, D., Cuthbertson, K., & O'Sullivan, N. (2006).Mutual fund performance. Available at SSRN 955807. Ritter, R. J., (1991). TheLong Run Performans of InitialPublic of Offerrings.TheJournal of Finance, (46), 3-38. Sharpe, W. F. (1966). Mutual fund performance. The Journal of business, 39(1), 119-138. Shi, J.,Bilson, C.,&Powell, J., (2008). ValuationUncertainty Risk Compensationand IPO ProspectusEarningForecasts. AppliedEconomicsLetters, (15),331-335. Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of Finance, 55(4), 1655-1703.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | İşletme |
| Bölüm | Derleme Makale |
| Yazarlar | |
| Yayımlanma Tarihi | 1 Temmuz 2016 |
| Yayımlandığı Sayı | Yıl 2016Cilt: 8 Sayı: 3 |
