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Therefore, the study provides a further examination of mutual fund performance and price linkages by controlling for various equity mutual fund categories that can be useful to investors on which segments of Australian equity mutual funds they should consider investing in for differing economic conditions.
Based on the sample data, the hypothesis of this thesis is that publicly-traded and privately-held fund management companies have different incentives and interests that impact mutual fund performance.
The thesis also addresses the issues of discontinuous returns and endogenous organizational form variables.
Consequently, mutual funds have grown to play an important role in financial markets and the price prediction evaluation of mutual funds have performed has evolved into an important topic for investors and academicians consider over the last decade.
Portfolio theory demonstrates that the gains from a diversified portfolio involve different degrees of price co-movement between securities.
The main objective of the research, then, is to investigate the price volatility of the stock market and equity mutual funds by estimating vector auto-regression and vector error correction models to uncover the transmission mechanisms of the specified variables.
Long-run price co-movements are detected by employing Johansen cointegration tests, and the short-run price dynamic is analysed by the Granger causality/Block Exogeneity Wald test with variance decompositions and impulse response function and an examination of error correction terms to investigate the speed of the models to reach equilibrium and thus long-term Analysis of Australian equity mutual funds is not only important for investors and fund managers, but also for academics and policy makers, in examining the implications of investing in domestic equity markets.
In this study, the existence and possible causes of the price dynamics are investigated over the period from 2000 to 2010 using daily data.
Three study periods are considered, namely the period before the global financial crisis in 2007, the period after it, and the full period.
Mutual funds are emerging as an opportunity for investors to automatically diversify their investments in such a way that all their money is pooled and the investment decisions are left to a professional manager.
There are various types of mutual funds that generally come with different investment objectives.