Naslov
Equity investment strategies: The case of Croatia

Autori
Barbić, Tajana ; Čondić-Jurkić, Iva

Izvornik
Ekonomska istraživanja (1331-677X) 23 (2010), 4; 63-77

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, prethodno priopćenje, znanstveni

Ključne riječi
investment approach ; market efficiency ; equity investment funds ; cointegration

Sažetak
This paper aims to analyze an investment strategy employed by particular equity investment fund in Croatia, i.e. to detect the fraction of passive funds which claim to be active. In order to test for bilateral long-run co-movements between fifteen selected mutual funds and CROBEX in time period from their start to the end of 2009, we use bivariate Johansen cointegration procedure. Results reveal that most of the Croatian equity funds share long run comovements with benchmark equity market index, representing the "closet indexers". Obtained results are to some extent unexpected given spotted inefficiencies on Croatian equity market that should have been exploited by active stock pickers.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA