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Finansal Karşılaştırma Ölçütlerinin Yatırım Fonlarının Portföy Dağılımı Üzerine Etkisi: Türkiye Sermaye Piyasası Örneği

Year 2022, Issue: 118, 161 - 178, 21.10.2022
https://doi.org/10.33203/mfy.1140189

Abstract

Bu çalışmanın amacı, finansal karşılaştırma ölçütü getirilerinin yatırım fonlarının portföy dağılımını nasıl etkilediği analiz edilmektedir. Türkiye’de faal olan yatırım fonları analiz edilmiştir. Çalışmada yöntem olarak, VAR modeline dayalı Granger Nedensellik Testi uygulanmıştır. Kantitatif analizin bulguları şöyledir; Devlet İç Borçlanma Senetleri getirisi (endeks) yükseldikçe DİBS'e olan talep artmakta ve daha sonra DİBS'lerin konsolide yatırım fonları portföyündeki ağırlığı artmaktadır. Makale bulgularına dayalı olarak şu sonuca ulaşılmaktadır; bonolar söz konusu olduğunda, benchmark getirileri toplam portföy dağılımında etkindir.

References

  • Bacchetta, P. and Tièche, S. and van Wincoop, E. (2020). International Portfolio Choice with Frictions: Evidence from Mutual Funds. CEPR Discussion Paper No. DP14898, Available at SSRN: https://ssrn.com/abstract=3638002
  • CBRT Financial Stability Report (TCMB, Finansal İstikrar Raporu), November 2021.
  • Drobetz, W. and Köhler, F. (2002). The Contribution of Asset Allocation Policy to Portfolio Performance. Financial Markets and Portfolio Management. 16. 219-233. 10.1007/s11408-002-0205-8.
  • Evans, R. B., Gomez, J.P., Ma, L. and Tang, Y. (2022). Peer versus Pure Benchmarks in the Compensation of Mutual Fund Managers. Darden Business School Working Paper No. 3441308, Available at SSRN: https://ssrn.com/abstract=3441308 or http://dx.doi.org/10.2139/ssrn.3441308.
  • Fulkerson, J. A. and Riley, T. B. (2019). Portfolio concentration and mutual fund performance. Journal of Empirical Finance, Elsevier, vol. 51(C), pages 1-16.
  • Gökgöz, F., Günel, M.O. (2012). Türk Yatırım Fonlarının Portföy Performanslarının Analizi. Ankara Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 3(2). DOI: 10.1502/sbeder_0000000043
  • Hoepner, A. G. F., Rammal, H. G. and Rezec, M. (2009). Islamic Mutual Funds’ Financial Performance and International Investment Style: Evidence from 20 Countries. European Journal of Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1475037.
  • İpekten, N. A. , İpekten, G. and İpekten, O. B. (2021). Menkul Kıymet Yatırım Fonu Akımları İle Hisse Senedi Getirileri Arasındaki Dinamik İlişkiler. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi , 25 (2) , 805-821 . Retrieved from https://dergipark.org.tr/tr/pub/ataunisosbil/issue/62432/740068
  • Kan, R. and Wang, X. (2020). Optimal Portfolio Choice with Benchmark. Rotman School of Management Working Paper No. 3760640.
  • Khorana, A., Servaes, H., and Tufano, P. (2005). Explaining the size of the mutual fund industry around the world. Journal of Financial Economics, Elsevier, vol. 78(1), pages 145-185, October.
  • Matallín Sáez, J. C. (2006). Seasonality, Market Timing and Performance Amongst Benchmarks and Mutual Fund Evaluation. Journal of Business Finance & Accounting, Vol. 33, No. 9-10, pp. 1484-1507. Available at SSRN: https://ssrn.com/abstract=950050 or http://dx.doi.org/10.1111/j.1468-5957.2006.00636.
  • Moneta, F. (2015). Measuring Bond Mutual Fund Performance with Portfolio Characteristics. EFA 2008 Athens Meetings Paper, Journal of Empirical Finance, Volume 33, September 2015, Pages 223–242, Available at SSRN: https://ssrn.com/abstract=1100766 or http://dx.doi.org/10.2139/ssrn.1100766.
  • Oğuz, O. (2020). Borsa Endeks Getirisinin Yatırım Fonları Portföyündeki Pay Senedi Oranına Etkisi: Nedensellik Analizi. Uluslararası Ekonomi Siyaset İnsan ve Toplum Bilimleri Dergisi, 3(1), 24-35. Retrieved from https://dergipark.org.tr/tr/pub/ijephss/issue/51653/643776
  • Özek, P. (2014). Yatırım Fonu Performansının Portföy Bilgileri İle İlişkili Olarak Analiz Edilmesi. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi , 12 (2) , 42-55 . DOI: 10.18026/cbusos.90196
  • Raddatz, C., Schmukler, S.L. and Williams, T. (2017). International asset allocations and capital flows: The benchmark effect. Journal of International Economics, 108 (C), 413-430.
  • Yılmaz, O. (2017). Kolektif Yatırım Kuruluşlarının Yatırım Fonları Özelinde Değerlendirilmesi. İstanbul Kültür Üniversitesi Hukuk Fakültesi Dergisi, 16(2) 511-536.
  • CMB. https://www.spk.gov.tr/SiteApps/Yayin/PeriyodikDokumanlar/PERD02 ICI. Investment Company Institute. https://www.icifactbook.org
  • KAP. Public Disclosure Platform. https://www.kap.org.tr
  • TAKASBANK (Settlement and Custody Bank). Corporate Investor Portfolio Statistics, https://www.vap.org.tr/fon-turleri-bazinda-nakit-akisi
  • TEFAS (Turkey Electronic Fund Trading Platform). https://www.tefas.gov.tr/IstatistikiRaporlar/ToplamIslemHacmi.aspx
  • MKK (Central Registry Agency)-VAP (Data Analysis Platform). https://www.vap.org.tr/uyruk-bazinda-yatirimci-sayilari

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

Year 2022, Issue: 118, 161 - 178, 21.10.2022
https://doi.org/10.33203/mfy.1140189

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.

References

  • Bacchetta, P. and Tièche, S. and van Wincoop, E. (2020). International Portfolio Choice with Frictions: Evidence from Mutual Funds. CEPR Discussion Paper No. DP14898, Available at SSRN: https://ssrn.com/abstract=3638002
  • CBRT Financial Stability Report (TCMB, Finansal İstikrar Raporu), November 2021.
  • Drobetz, W. and Köhler, F. (2002). The Contribution of Asset Allocation Policy to Portfolio Performance. Financial Markets and Portfolio Management. 16. 219-233. 10.1007/s11408-002-0205-8.
  • Evans, R. B., Gomez, J.P., Ma, L. and Tang, Y. (2022). Peer versus Pure Benchmarks in the Compensation of Mutual Fund Managers. Darden Business School Working Paper No. 3441308, Available at SSRN: https://ssrn.com/abstract=3441308 or http://dx.doi.org/10.2139/ssrn.3441308.
  • Fulkerson, J. A. and Riley, T. B. (2019). Portfolio concentration and mutual fund performance. Journal of Empirical Finance, Elsevier, vol. 51(C), pages 1-16.
  • Gökgöz, F., Günel, M.O. (2012). Türk Yatırım Fonlarının Portföy Performanslarının Analizi. Ankara Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 3(2). DOI: 10.1502/sbeder_0000000043
  • Hoepner, A. G. F., Rammal, H. G. and Rezec, M. (2009). Islamic Mutual Funds’ Financial Performance and International Investment Style: Evidence from 20 Countries. European Journal of Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1475037.
  • İpekten, N. A. , İpekten, G. and İpekten, O. B. (2021). Menkul Kıymet Yatırım Fonu Akımları İle Hisse Senedi Getirileri Arasındaki Dinamik İlişkiler. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi , 25 (2) , 805-821 . Retrieved from https://dergipark.org.tr/tr/pub/ataunisosbil/issue/62432/740068
  • Kan, R. and Wang, X. (2020). Optimal Portfolio Choice with Benchmark. Rotman School of Management Working Paper No. 3760640.
  • Khorana, A., Servaes, H., and Tufano, P. (2005). Explaining the size of the mutual fund industry around the world. Journal of Financial Economics, Elsevier, vol. 78(1), pages 145-185, October.
  • Matallín Sáez, J. C. (2006). Seasonality, Market Timing and Performance Amongst Benchmarks and Mutual Fund Evaluation. Journal of Business Finance & Accounting, Vol. 33, No. 9-10, pp. 1484-1507. Available at SSRN: https://ssrn.com/abstract=950050 or http://dx.doi.org/10.1111/j.1468-5957.2006.00636.
  • Moneta, F. (2015). Measuring Bond Mutual Fund Performance with Portfolio Characteristics. EFA 2008 Athens Meetings Paper, Journal of Empirical Finance, Volume 33, September 2015, Pages 223–242, Available at SSRN: https://ssrn.com/abstract=1100766 or http://dx.doi.org/10.2139/ssrn.1100766.
  • Oğuz, O. (2020). Borsa Endeks Getirisinin Yatırım Fonları Portföyündeki Pay Senedi Oranına Etkisi: Nedensellik Analizi. Uluslararası Ekonomi Siyaset İnsan ve Toplum Bilimleri Dergisi, 3(1), 24-35. Retrieved from https://dergipark.org.tr/tr/pub/ijephss/issue/51653/643776
  • Özek, P. (2014). Yatırım Fonu Performansının Portföy Bilgileri İle İlişkili Olarak Analiz Edilmesi. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi , 12 (2) , 42-55 . DOI: 10.18026/cbusos.90196
  • Raddatz, C., Schmukler, S.L. and Williams, T. (2017). International asset allocations and capital flows: The benchmark effect. Journal of International Economics, 108 (C), 413-430.
  • Yılmaz, O. (2017). Kolektif Yatırım Kuruluşlarının Yatırım Fonları Özelinde Değerlendirilmesi. İstanbul Kültür Üniversitesi Hukuk Fakültesi Dergisi, 16(2) 511-536.
  • CMB. https://www.spk.gov.tr/SiteApps/Yayin/PeriyodikDokumanlar/PERD02 ICI. Investment Company Institute. https://www.icifactbook.org
  • KAP. Public Disclosure Platform. https://www.kap.org.tr
  • TAKASBANK (Settlement and Custody Bank). Corporate Investor Portfolio Statistics, https://www.vap.org.tr/fon-turleri-bazinda-nakit-akisi
  • TEFAS (Turkey Electronic Fund Trading Platform). https://www.tefas.gov.tr/IstatistikiRaporlar/ToplamIslemHacmi.aspx
  • MKK (Central Registry Agency)-VAP (Data Analysis Platform). https://www.vap.org.tr/uyruk-bazinda-yatirimci-sayilari
There are 21 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Articles
Authors

Fatih Kayhan 0000-0001-7844-8663

Berra Doğaner 0000-0002-9298-2384

Mehmet İslamoglu 0000-0002-4416-0888

Early Pub Date October 22, 2022
Publication Date October 21, 2022
Submission Date July 4, 2022
Published in Issue Year 2022 Issue: 118

Cite

APA Kayhan, F., Doğaner, B., & İslamoglu, M. (2022). Impact of Financial Benchmarks Upon the Portfolio Distribution of Mutual Funds: The Evidence from Turkish Capital Market. Maliye Ve Finans Yazıları(118), 161-178. https://doi.org/10.33203/mfy.1140189
  • The journal specializes in especially in all the fields of finance and banking.