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Dynamic Timing Of Investment Funds Market In Croatia: Rolling Regression Approach

Author

Listed:
  • Ana Skrlec

    (PricewaterhouseCoopers Savjetovanje d.o.o.)

  • Tihana Skrinjaric

    (University of Zagreb)

Abstract

Investors in stock markets have to continuously re-evaluate their investment strategies due to on-going changes on the markets. Thus, investors are able to achieve their goals more quickly. This paper, for the first time in Croatia, analyses mutual funds from a geographical aspect of funds’ investments with a dynamic approach of estimating a market timing model. Therefore, the defensiveness/aggressiveness of a fund, as well as good/bad market timing over time is observed. The results of the analysis on 16 Croatian funds (for different time spans, due to data availability) indicate that parameters in market timing models do change over time. This means that the dynamic approach should be taken when evaluating mutual fund performance and market timing. At the end of the analysis a general guidance is given for potential investors as well as suggestions how to adjust their investment strategies.

Suggested Citation

  • Ana Skrlec & Tihana Skrinjaric, 2019. "Dynamic Timing Of Investment Funds Market In Croatia: Rolling Regression Approach," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 28(1), pages 127-155, june.
    • Handle: RePEc:avo:emipdu:v:28:y:2019:i:1:p:127-155
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    More about this item

    Keywords

    market timing; dynamic models; rolling regression; mutual funds;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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