A Survey on Iranian Stock Exchange Market and Determination of Influencing Factors onAnnual Return of Mutual Funds

Document Type : پژوهشی

Authors

• Gholam Reza Eslami Bidgoli
• Albert Boghosian
• Mahdi Azadvari

https://doi.org/10.22067/pm.v21i8.45861

Abstract

Abstract
Financial markets in recent decades are faced by salient evolution. The roles of exclusive special financial intermediates, especially banks, are decreased somedeal by the appearance of new financial intermediates and new financial instruments. Special place for intermediates like mutual funds and investment companies with variable invest are opened. That means some of the banking customers accept higher risk instead of they only open an ordinary long term deposit account and they convict to small banking profit. They would prefer to invest in market via these intermediates for getting higher profit and higher risk. The role of investment companies and mutual funds at this way are important that they act as an asset portfolio manager for investors. The main objective of this paper is to survey the effective factors on mutual funds return in Tehran Stock Exchange (TSE) with regard to recent development of this kind financial institution.
In this research, weekly data of 19 Mutual Funds for the period of 2009 to 2011 is used. Seven factors are considered including: market return, value of units issued, value of units redeemed, funds value`s growth rate, capital activity ratio, ownership structure, risk (absolute deviation), number of industries in fund`s portfolio, cash amount which is hold by funds, and funds return of pervious period.
Analysis has been done by using OLS with panel data structure and fixed effect. Findings show that four factors including: market return, funds value`s growth rate, risk (absolute deviation), capital activity ratio, and can affect on funds return.

Keywords

• Mutual Funds
• Fund's Rate of Return
• Fund's Cash amount
• Fund's Value
• Value of issues and redemptions

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