Predictability of Korean Mutual Fund Performance

15 Pages Posted: 12 Aug 2021

See all articles by Marta Vidal

Marta Vidal

Universidad Europea de Madrid; Universidad Complutense de Madrid (UCM)

Javier Vidal-García

Complutense University of Madrid; Harvard University

Date Written: August 10, 2021

Abstract

In this article, we examine the persistence in performance of Korean equity mutual funds between 1990 and 2020. South Korea is the country with the second largest number of mutual funds registered globally after the US; it has more funds domiciled than UK or Japan. The country is the world’s 12th-biggest economy, in the following five years; it is set to make the 10th-biggest contribution to global growth, more than France or Italy and approximately the same as the UK. Using a daily return sample, we show a strong existence of performance persistence in the Korean mutual fund market during the 30-year sample period included in our study. We find this result using a non-parametric methodology based on contingency tables checked by statistical tests, which show statistical significance at 1% level.

Keywords: Mutual Funds; Performance Persistence; South Korea; Contingency Tables

JEL Classification: G11, G12

Suggested Citation

Vidal, Marta and Vidal-García, Javier and Vidal-García, Javier, Predictability of Korean Mutual Fund Performance (August 10, 2021). Available at SSRN: https://ssrn.com/abstract=3902774 or http://dx.doi.org/10.2139/ssrn.3902774

Marta Vidal

Universidad Europea de Madrid ( email )

Villaviciosa de Odón
Madrid, 28670
Spain

Universidad Complutense de Madrid (UCM) ( email )

Somosaguas Campus
Madrid, 28223
Spain

Javier Vidal-García (Contact Author)

Complutense University of Madrid ( email )

School of Business Administration
Somosaguas Campus
Madrid, Madrid 28223
Spain

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

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