engleski

Is there a room for pure index fund on Croatian equity market?

Throughout last decade, CEE countries' financial markets, including Croatian equity market, experienced rapid development that favored significant growth of mutual funds. Such funds are exclusively actively managed in Croatia. By examining whether any of Croatian mutual funds replicates stock index CROBEX, we intent to explore whether there is a room for pure index fund that would do the same job at lower cost. The baseline idea is that replicating pattern is established if observed variables exhibit a certain long run equilibrium relationship, though deviations in the short run are possible. In order to detect possible long run equilibrium relationship between particular mutual fund and stock index CROBEX for the period from October 7th 1999 to September 27th, 2007, bivariate Johansen cointegration approach is used. The empirical analysis suggests that 4 out of 10 observed mutual funds are cointegrated with the stock index, implying that these funds spontaneously follow passive investment strategy.

mutual funds; investment strategy; cointegration; CROBEX

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