References
- Abdullah, F., Hassan, T., Mohammad, S. (2007). Investigation of performance of Malaysian Islamic unit trust funds. Managerial Finance, 33(2), 142–153. DOI: 10.1108/03074 350710715854.
- Acharya, D., Sidana, G. (2007). Classifying mutual funds in India: some results from clustering. Indian Journal of Economics and Business, 6(1), 71–79. Available at SSRN. Retrieved from https://ssrn.com/abstract=999856.
- Aczel, A.D., Sounderpandian, J. (2009). Complete Business Statistics. McGraw-Hill.
- Albulescu, C.T. (2021). COVID-19 and the United States financial markets’ volatility. Finance Research Letters, 38, 101699. DOI: 10.1016/j.frl.2020.101699.
- Amenc, N., Curtis, S., Martellini, L. (2003). The Alpha and Omega of Hedge Fund Performance Measurement. Working paper. EDHEC Risk and Asset Management Research Centre.
- Ammann, M., Moerth, P. (2005). Impact of fund size on hedge fund performance. Journal of Asset Management, 6(3), 219–238. DOI: 10.1057/palgrave.jam.2240177.
- Baek, S., Mohanty, S.K., Glambosky, M. (2020). COVID-19 and stock market volatility: An industry level analysis. Finance Research Letters, 37, 101748. DOI: 10.1016/j. frl.2020.101748.
- Basu, A.K., Huang-Jones, J. (2015). The performance of diversified emerging market equity funds. Journal of International Financial Markets, Institutions and Money, 35, 116–131. DOI: 10.1016/j.intfin.2015.01.002.
- Beckers, S., Vaughan, G. (2001). Small Is Beautiful. The Journal of Portfolio Management, 27(4), 9–17. DOI: 10.3905/jpm.2001.319808.
- Białkowski, J., Otten, R. (2011). Emerging market mutual fund performance: Evidence for Poland. The North American Journal of Economics and Finance, 22(2),118–130. DOI: 10.1016/j.najef.2010.11.001.
- Blahun, I., Blahun, I.I. (2020). The relationship between world and local stock indices. Montenegrin Journal of Economics, 16(1), 55–67. DOI: 10.14254/1800-5845/2020.16-1.4.
- Bodson, L., Cavenaile, L., Sougné, D. (2011). Does size affect mutual fund performance? A general approach. Journal of Asset Management, 12(3), 163–171. DOI: 10.1057/jam.2011.30.
- Bollen, P.B.A., Busse, J.A. (2001). On the timing ability of mutual fund managers. The Journal of Finance, 56(3), 1075–1094. DOI: 10.1111/0022-1082.00356.
- Brennan, M., Hughes, P. (1991). Stock Prices and the Supply of Information. The Journal of Finance,46(5), 1665–1691. DOI: 10.1111/j.1540-6261.1991.tb04639.x.
- Chang, E.C., Lewellen, W.G. (1984). Market Timing and Mutual Fund Performance. Journal of Business, 57(1), 57–72.
- Chen, J., Hong, H., Huang, M., Kubik, J.D. (2004). Does fund size erode mutual fund performance? The role of liquidity and organization. American Economic Review, 94(5), 1276–1302. DOI: 10.1257/0002828043052277.
- Dias, R., Teixeira, N., Machova, V., Pardal, P., Horak, J., Vochozka, M. (2020). Random walks and market efficiency tests: evidence on US, Chinese and European capital markets within the context of the global COVID-19 pandemic. Oeconomia Copernicana, 11(4), 585–608. DOI: 10.24136/oc.2020.024.
- Elfakhani, S., Hassan, M.K., Sidani, Y. (2005). Comparative Performance of Islamic Versus Secular Mutual Funds. In Proceedings of the 12th Economic Research Forum Conference, Cairo, Egypt, 19–21 December 2005.
- Cuthbertson, K., Nitzsche, D., O’Sullivan, N. (2010). The market timing ability of UK mutual funds. Journal of Business Finance & Accounting, 37(1–2), 270–289. DOI: 10.1111/j.1468-5957.2009.02157.x.
- Daniel, K., Grinblatt, M., Titman, S., Wermers, R. (1997). Measuring mutual fund performance with characteristic‐based benchmarks. The Journal of finance, 52(3), 1035–1058. DOI: 10.1111/j.1540-6261.1997.tb02724.x.
- Dellva, L.W., DeMaskey, A.L., Smith, C.A. (2001). Selectivity and market timing performance of fidelity sector mutual funds. The Financial Review, 36, 39–54. DOI: 10.1111/j.1540-6288.2001.tb00003.x.
- Ding, H., Zheng, H., Zhu, C. (2015). Equity funds in emerging Asia: Does size matter? International Review of Economics & Finance, 35, 149–165. DOI: 10.1016/j.iref.2014.09.012.
- Filip, D. (2017). Does Larger Perform Better? The Analysis of Short-Term Performance by Polish Mutual Funds. Finanse, Rynki Finansowe, Ubezpieczenia, 6(90), 5–21. DOI: 10.18276/frfu.2017.90-01.
- Gębka, B., Serwa, D. (2007). Intra- and inter-regional spillovers between emerging capital markets around the world. Research in International Business and Finance, 21(2), 203–221. DOI: 10.1016/j.ribaf.2006.03.005.
- Gharghori, P., Mudumba, S., Veeraraghavan, M. (2007). How smart is money? An investigation into investor behaviour in the Australian managed fund industry. Pacific-Basin Finance Journal, 15(5), 494–513. DOI: 10.1016/j.pacfin.2006.10.002.
- Gupta, A. (2001). Mutual Funds in India: A Study of Investment Management. Finance India, 15(2), 631–637.
- Henriksson, R. ., Merton, R.C. (1981). On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. Journal of Business, 513–533. DOI: 10.1086/296144.
- Holmes, K.A., Faff, R. (2007). Style drift, fund flow and fund performance: New cross-sectional evidence. Financial Services Review, 16(1), 55–71.
- Jamróz, P. (2011). Parametric Evaluation of Selection Ability and Market Timing Skills of Open-End Mutual Fund Managers. Zeszyty Naukowe Uniwersytetu Szczecińskiego, 639. Finanse, Rynki finansowe, Ubezpieczenia, 37, 221–231.
- Keating, C., Shadwick, W.F. (2002). A universal performance measure. Journal of Performance Measurement, 6(3), 59–84.
- Kiymaz, H. (2015). A performance evaluation of Chinese mutual funds. International Journal of Emerging Markets, 10(4), 820–836. DOI: 10.1108/IJoEM-09-2014-0136.
- Liang, B. (1999). On the Performance of Hedge Funds. Financial Analysts Journal, 55(4), 72–85. DOI: 10.2469/faj.v55.n4.2287.
- Lytkin, N., Kulikowski, C., Muchnik, I. (2008). Variance-based criteria for clustering and their application to the analysis of management styles of mutual funds based on time series of daily returns. DIMACS Technical Report 2008-01.
- Madeline, E.R., Rizkianto, E. (2022). Analysis of Market Timing and Stock Selection Ability on Indonesian Equity Mutual Funds Before and The Ongoing COVID-19 Over the Period of 2015–2021. In: ICE-BEES 2021: Proceedings of the 4th International Conference on Economics, Business and Economic Education Science, ICE-BEES 2021, 27–28 July 2021, Semarang, Indonesia (p. 250). European Alliance for Innovation.
- Olbryś, J. (2011). The Influence of the Bias of the Jensen’s Alpha Coefficient Estimator on Interpreting the Parameters of the Classical Market-Timing Models. Statistical Review, 58(1–2), 42–59.
- Otranto, E. (2004). Classifying the markets volatility with ARMA distance measures. Quaderni di Statistica, 6, 1–19.
- Package scipy.cluster. hierarchy. Retrieved form https://docs.scipy.org/doc/scipy/reference/generated/scipy.cluster.hierarchy.ward.html (20.03.2023).
- Pardal, P., Dias, R., Šuleř, P., Teixeira, N., Krulický, T. (2020). Integration in Central European capital markets in the context of the global COVID-19 pandemic. Equilibrium. Quarterly Journal of Economics and Economic Policy, 15(4), 627–650. DOI: 10.24136/eq.2020.027.
- Pattarin, F., Paterlini, S., Minerva, T. (2004). Clustering financial time series: an application to mutual funds style analysis. Computational Statistics & Data Analysis, 47(2), 353–372. DOI: 10.1016/j.csda.2003.11.009.
- Rao, Z.U.R., Tauni M.Z., Iqbal A. (2017). Emerging market mutual fund performance: Evidence for China. Journal of Asia Business Studies, 11(2), 167–187. DOI: 10.1108/JABS-10-2015-0176.
- Sakakibara, T., Matsui, T, Mutoh, A., Inuzuka, N. (2015). Clustering Mutual Funds Based on Investment Similarity. 19th International Conference on Knowledge Based and Intelligent Information and Engineering Systems. Procedia Computer Science, 60, 881–890. DOI: 10.1016/j.procs.2015.08.251.
- Shukla, R., Singh, S. (1997). A performance evaluation of global equity mutual funds: Evidence from 1988–1995. Global Finance Journal, 8(2), 279–293. DOI: 10.1016/S1044-0283(97)90020-X.
- Soongswang, A., Sanohdontree, Y. (2011). Equity mutual fund: Performances, persistence and fund rankings. Journal of Knowledge Management, Economics and Information Technology, 1(6), 425–452.
- Souza de Souza, P.V., Augusto, C. (2020). Effects of COVID-19 Pandemic on International Capital Markets. International Journal of Economics and Financial, 10(6), 163–171, DOI: 10.32479/ijefi.10702.
- Swinkels, L., Rzezniczak, P. (2009). Performance evaluation of Polish mutual fund managers. International Journal of Emerging Markets, 4(1), 26–42. DOI: 10.1108/17468800910931652.
- Svabova, L., Tesarova, E.N., Durica, M., Strakova, L. (2021). Evaluation of the impacts of the COVID-19 pandemic on the development of the unemployment rate in Slovakia: coun-terfactual before-after comparison. Equilibrium. Quarterly Journal of Economics and Economic Policy, 16(2), 261–284. DOI: 10.24136/eq.2021.010.
- Treynor, J., Mazuy, K. (1966). Can mutual funds outguess the market. Harvard business review, 44(4), 131–136.
- Ward, J.H. (1963). Hierarchical grouping to optimize an objective function. Journal of American Statistical Association, 58(301), 236–244. DOI: 10.1080/01621459.1963.10500845.
- Witkowska, D., (2012). Measurement of the Efficiency of Mutual Funds Operating on the Pan-European Market. Folia Oeconomica Stetinensia, 12(2), 126–146.
- Witkowska, D., Kompa, K., Grabska, M. (2009). Investigation of the Strong Form Efficient Market Hypothesis: the Example of Selected Investment Funds. Quantitative Methods in Economics, 10(1), 265–285.
- Zamojska, A. (2009). Timing – Measurement Methods and Empirical Application on the Example of Polish Investment Funds. Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 60, 525–532.
- Zaremba, A., Kizys, R., Aharon, D.Y., Demir, E. (2020). Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe. Finance Research Letters, 35, 101597. DOI: 10.1016/j.frl.2020.101597.
- Yan, X.S. (2008). Liquidity, investment style, and the relation between fund size and fund performance. Journal of Financial and Quantitative Analysis, 43(3),741–767. DOI: 10.1017/S0022109000004270.
- Yin, Z., O’Sullivan, N., Sherman, M. (2024). The liquidity timing ability of mutual funds. The North American Journal of Economics and Finance, 102201.
- Żebrowska-Suchodolska, D. (2021). Is The Size of The Fund Important in a Pandemic? Research for Polish Equity and Bond Funds. Proceedings of the 37th International Business Information Management Association Conference (IBIMA) 30–31 May 2021, Cordoba, Spain.
- Żebrowska-Suchodolska, D., Karpio, A. (2020). Market timing models for equity funds operating on the Polish market in the years 2003–2017. In: Experimental and Quantitative Methods in Contemporary Economics: Computational Methods in Experimental Economics (CMEE) 2018 Conference (pp. 291–309). Springer International Publishing.
- Żebrowska-Suchodolska, D., Karpio, A. (2022). Study of the Skills of Balanced Fund Managers in Poland. Contemporary Economics, 16(2). 151–167. DOI: 10.5709/ce.1897-9254.474.
- Żebrowska-Suchodolska, D., Piekunko-Mantiuk, I. (2022). Similarity and Granger Causality in Polish and Spanish Stock Market Sectors During the COVID-19 Pandemic. Comparative Economic Research. Central and Eastern Europe, 25(3), 90–109. DOI: 10.18778/1508-2008.25.23.
- Żebrowska-Suchodolska, D., Karpio, A., Kompa, K. (2021). COVID-19 pandemic: Stock markets situation in European Ex-communist countries. European Research Studies Journal, XXIV(3). DOI: 10.35808/ersj/2408.