Mutual funds and market performance: New evidence from ASEAN markets

Qureshi, Fiza; Ismail, Izlin; Chan, Sok Gee

doi:10.1080/10293523.2016.1253137

Cited by 19 publications

(14 citation statements)

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“…2. Such as bank deposits, mutual funds, national saving schemes, Pakistan investment bond or corporate bond. Qureshi et al (2017).…”

Section: Notesmentioning

confidence: 99%

“…116,590/troy ounce in 2011 to Rs. 296,588/troy ounce in 2020 yielded 154.4% returns for investors that are higher than the returns over alternative investments [2] (Qureshi et al , 2017; Aazim, 2011). The hike in gold prices led to a higher trade of gold futures in the Pakistan Mercantile Exchange in the local market (Shahbaz et al , 2014; Qureshi et al , 2018).…”

Section: Introductionmentioning

confidence: 99%

“…Why (and how much) Pakistanis overinvest in real estate -Profit by Pakistan Today.2. Such as bank deposits, mutual funds, national saving schemes, Pakistan investment bond or corporate bond Qureshi et al (2017)…”

mentioning

confidence: 99%

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Safe-haven investments against stock returns in Pakistan: a role of real estate, gold, oil and US dollar

Imran

Ahad

2022

IJHMA

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Purpose This study aims to compare the safe-haven properties of different asset markets such as gold, dollar, oil and disaggregated real estate sector (house, plot and residential) against equity returns in Pakistan over the monthly period of January 2011–December 2020. Design/methodology/approach The authors use wavelet coherence to encapsulate the overall dependence and correlation of asset classes. Further, the authors also study the potential of diversification at the tail of returns distribution by applying the wavelet value-at-risk (VaR) framework. Findings The results of wavelet coherence show that the dependence is weaker (stronger) in the short (long)-term investment horizon. Moreover, the findings of wavelet VaR reveal that the degree of co-movement between gold and equity returns greatly affects the portfolio risk followed by residential property and oil. Practical implications The findings are beneficial for the individual investor, fund managers and financial advisors looking for the optimal portfolio combination that hedges the excessive negative movements in equity returns subject to the heterogeneity in the investment horizon. Originality/value This is a primary effort to estimate safe-haven investments opportunities at a large spectrum, including disaggregated real estate sector against stock returns in Pakistan. Moreover, this study uses wavelet coherence and wavelet VaR which have an advantage over traditional analysis for diversification.

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“…2. Such as bank deposits, mutual funds, national saving schemes, Pakistan investment bond or corporate bond. Qureshi et al (2017).…”

Section: Notesmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Safe-haven investments against stock returns in Pakistan: a role of real estate, gold, oil and US dollar

Imran

Ahad

2022

IJHMA

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“…Their findings indicate that fund flow is negatively impacted in high volatility conditions which means that the flow-past return relationship is weaker under high volatility periods. Qureshi et al, (2017) the relationship between the fund flow and stock market volatility. Their findings show that equity fund flow is negatively associated with market volatility due to the risk associated with it.…”

Section: Fund Flowmentioning

confidence: 99%

“…Carhart (1997) study the relationship between return and net asset value and find no evidence of any reciprocal influence. Recently, several articles on mutual fund flow have explored whether uncertainty which represents the risk level such fund volatility (Wang et al, 2018) and stock market volatility (Qureshi et al, 2017;Diaz et al, 2016;Ederington and Golubeva, 2011). Our work contributes by extending this line of enquiry to examine the impact of default risk on mutual fund flow.…”

Section: Introductionmentioning

confidence: 96%

Sovereign CDS and mutual funds: Global evidence

Alsubaiei

Calice

Vivian

2021

Journal of International Financial Markets, Institutions and Mo

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Do mutual funds have consistency in their performance?

et al. 2019

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Using a comprehensive data set of 714 Chinese mutual funds from 2004 to 2015, the study investigates these funds' performance persistence by using the Capital Asset Pricing model, the Fama-French three-factor model and the Carhart Four-factor model. For persistence analysis, we categorize mutual funds into eight octiles based on their one year lagged performance and then observe their performance for the subsequent 12 months. We also apply Cross-Product Ratio technique to assess the performance persistence in these Chinese funds. The study finds no significant evidence of persistence in the performance of the mutual funds. Winner (loser) funds do not continue to be winner (loser) funds in the subsequent time period. These findings suggest that future performance of funds cannot be predicted based on their past performance.

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Mutual funds and market performance: New evidence from ASEAN markets

Cited by 19 publications

References 50 publications

Safe-haven investments against stock returns in Pakistan: a role of real estate, gold, oil and US dollar

Safe-haven investments against stock returns in Pakistan: a role of real estate, gold, oil and US dollar

Sovereign CDS and mutual funds: Global evidence

Do mutual funds have consistency in their performance?

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