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Impact of Financial Benchmarks Upon the Portfolio Distribution of Mutual Funds: The Evidence From Turkish Capital Market

Author

Listed:
  • Fatih Kayhan

    (Kirklareli University)

  • Berra Doğaner

    (Ostim Technical University)

  • Mehmet İslamoglu

    (Karabuk University)

Abstract

The purpose of the study is to examine how financial benchmark returns impact the portfolio distribution of mutual funds. The scope of paper is limited to Turkish mutual funds market. Method employed in the paper; Granger Causality Test based on the VAR model is used. Findings of the quantitative analysis: As the return on government debt securities (index) inclines, the demand on Government Domestic Debt Securities goes up, and then, weight of government debt securities increases in consolidated portfolio of mutual funds. The paper concludes that for bonds, benchmark returns are effective on portfolio distribution of mutual funds.

Suggested Citation

  • Fatih Kayhan & Berra Doğaner & Mehmet İslamoglu, 2022. "Impact of Financial Benchmarks Upon the Portfolio Distribution of Mutual Funds: The Evidence From Turkish Capital Market," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 37(118), pages 161-178, October.
    • Handle: RePEc:acc:malfin:v:37:y:2022:i:118:p:161-178
    DOI: https://doi.org/10.33203/mfy.1140189
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    References listed on IDEAS

    as
    1. Moneta, Fabio, 2015. "Measuring bond mutual fund performance with portfolio characteristics," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 223-242.
    2. Fulkerson, Jon A. & Riley, Timothy B., 2019. "Portfolio concentration and mutual fund performance," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 1-16.
    3. Khorana, Ajay & Servaes, Henri & Tufano, Peter, 2005. "Explaining the size of the mutual fund industry around the world," Journal of Financial Economics, Elsevier, vol. 78(1), pages 145-185, October.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Funds; Portfolio Distribution; Benchmark;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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