[
Augustyński, I. 2011. Wpływ giełd światowych na główne indeksy giełdowe w Polsce. Finansowy Kwartalnik Internetowy e-Finanse 7 (1). http://www.e-finanse.com (Accessed April 19, 2022).
]Search in Google Scholar
[
Bello, Z. Y. 2005. Socially responsible investing and portfolio diversification. Journal of Financial Research, 28 (1): 41-57.10.1111/j.1475-6803.2005.00113.x
]Search in Google Scholar
[
Bilas, V., Bošnjak, M., Novak, I. 2017. Examining the Relationship Between Financial Development and International Trade in Croatia. The South East European Journal of Economics and Business 12 (1): 80-8810.1515/jeb-2017-0009
]Search in Google Scholar
[
Bołt, T. W., Zamojska, A. 2007. Co-integrated Vector Autoregressive Model for Selected Groups of Funds in Poland. Prace i Materiały Wydziału Zarządzania Uniwersytetu Gdańskiego 5: 317-331.
]Search in Google Scholar
[
Cao, D., Long W., Yang W. 2013. Sector Indices Correlation Analysis in China’s Stock Market, Procedia Computer Science 17: 1241-1249.10.1016/j.procs.2013.05.158
]Search in Google Scholar
[
Charemza, W. W., Deadman, D. F. 1997. New directions in econometric practice. 2nd Ed. Edward Elgar Publishing.
]Search in Google Scholar
[
Dudek, A. 2009. Wpływ sytuacji na amerykańskiej giełdzie papierów wartościowych na zachowania inwestorów w Polsce – analiza ekonometryczna. In: Ekonomiczne problem funkcjonowania współczesnego świata, edited by D. Kopycińska. Szczecin.
]Search in Google Scholar
[
Égert, B. Kočenda, E. 2007. Interdependence between Eastern and Western European stock markets: Evidence from intraday data. Economic Systems, 31 (2): 184-203.10.1016/j.ecosys.2006.12.004
]Search in Google Scholar
[
Enders, W. 2010. Applied econometric time series. John Wiley & Sons.
]Search in Google Scholar
[
Engle, R.F., Granger C.W.J. 1987. Cointegration and error correction: representation, estimation and testing. Econometrica 55: 251−276.
]Search in Google Scholar
[
Engle, R.F., Granger C.W.J. 1991. Long-run economics relationships: readings in cointegration. Oxford University Press. Oxford.
]Search in Google Scholar
[
Fabozzi, F. J., Focardi, S. M., Kolm, P. N. 2006. Financial modeling of the equity market: from CAPM to cointegration. John Wiley & Sons.
]Search in Google Scholar
[
Fasnacht, P., Loeberge H. 2007. International Stock Market correlations: A Sectorial Approach Finance International Meeting AFFI-EURO FIDAI. Paris. December’ 2007 Paper.10.2139/ssrn.1071608
]Search in Google Scholar
[
Gilmore, C. G., McManus, G. M. 2002. International portfolio diversification: US and Central European equity markets. Emerging Markets Review, 3 (1): 69-83.10.1016/S1566-0141(01)00031-0
]Search in Google Scholar
[
Gluzicka, A. 2013. Influence the Global Finance Markets to the Stock Exchange in Warsaw, Studia Ekonomiczne / Uniwersytet Ekonomiczny w Katowicach 162: 144-157.
]Search in Google Scholar
[
Golab, A., Jie, F. Powell R., Zamojska, A. 2018. Cointegration between the European Union and the selected global markets following Sovereign Debt Crisis. Investment Management and Financial Innovations, 15 (1): 35-45.10.21511/imfi.15(1).2018.05
]Search in Google Scholar
[
Granger, C.W. J. 1981. Some properties of time series data and their use in econometric model specification Journal of Econometrics 16: 121−130.10.1016/0304-4076(81)90079-8
]Search in Google Scholar
[
Gulzar, S., Mujtaba Kayani, G., Xiaofen, H., Ayub, U. Rafique, A. 2019. Financial cointegration and spillover effect of global financial crisis: A study of emerging Asian financial markets. Economic research-Ekonomska istraživanja 32 (1): 187-218.10.1080/1331677X.2018.1550001
]Search in Google Scholar
[
Horobet, A., Lupu, R. 2009. Are capital markets integrated? A test of information transmission within the European Union. Romanian Journal of Economic Forecasting, 10 (2): 64-80.
]Search in Google Scholar
[
Hossain, M.S., Rahman, A.M., Rajib, M.S.U. 2012. Dynamics of Mutual Funds in Relation to Stock Market: A Vector Autoregressive Causality Analysis. International Journal of Economics and Financial Issues 3 (1): 191-201.
]Search in Google Scholar
[
Hung, N.T. (2020). An analysis of CEE equity market integration and their volatility spillover effects. European Journal of Management and Business Economics 29 (1): 23-40.
]Search in Google Scholar
[
İskenderoglu, Ö., Akdağ, S. 2020. Comparison of the Effect of VIX Fear Index on Stock Exchange Indices of Developed and Developing Countries: The G20 Case. The South East European Journal of Economics and Business 15 (1): 105-121.10.2478/jeb-2020-0009
]Search in Google Scholar
[
Jagric, T., Podobnik, B. Strasek, S., Jagric, V. 2015. Risk-adjusted performance of mutual funds: some tests. South-Eastern Europe Journal of Economics, 5 (2): 233-244.
]Search in Google Scholar
[
Jamróz, P. 2011. Parametric Evaluation of Selection Ability and Market Timing Skills of Open-End Mutual Fund Managers. Zeszyty Naukowe Uniwersytetu Szczecińskiego Nr 639, Finanse, Rynki finansowe, Ubezpieczenia nr 37: 221-231.
]Search in Google Scholar
[
Johansen, S. 1988. Statistical analysis of cointegration vectors. Journal o f Economic Dynamics and Control 12: 231−254.10.1016/0165-1889(88)90041-3
]Search in Google Scholar
[
Kurisetti P., Yeldandi S., Perumandla S. 2018. Test of Co-integration and Equilibrium Relationship among the Selected Sectoral Indices: Empirical Evidence from NSE India. Pacific Business Review International 10 (11): 114-123.
]Search in Google Scholar
[
Low, S.-W., Ghazali, N. 2007. The Price Linkages Between Malaysian Unit Trust Funds and the Stock Market: Short Run and Long Run Interrelationships. Managerial Finance 33: 89–101.10.1108/03074350710715827
]Search in Google Scholar
[
Lütkepohl, H. 2013. Vector autoregressive models. In: Handbook of Research Methods and Applications in Empirical Macroeconomics. Edward Elgar Publishing.
]Search in Google Scholar
[
Maneschiöld, P. O. 2006. Integration between the Baltic and international stock markets. Emerging Markets Finance and Trade, 42 (6), 25-45.
]Search in Google Scholar
[
Matallin, J. C., Nnieto, l. 2002. Mutual Funds as an Alternative to Direct Stock Investment: A Cointegration Approach. Applied Financial Economics 12: 743–750.10.1080/09603100110038693
]Search in Google Scholar
[
Matuszewska-Janica, A. 2011. Long-run Relationships between Selected Central European Indexes. International Advances in Economic Research 17 (2): 157-168.10.1007/s11294-011-9300-9
]Search in Google Scholar
[
Matuszewska-Janica A., Żebrowska-Suchodolska D., Mentel G. (2019). Evaluation of short-term relationships between selected investment funds and the capital market in Poland. Acta Polytechnica Hungarica 16 (5): 25-41.
]Search in Google Scholar
[
Meric, I., Ratner, M., Meric, G. 2008. The co-movements of sector index returns in the world’s major stock markets during bull and bear markets: Portfolio diversification implications. International Review of Financial Analysis 17 (1): 156-177.10.1016/j.irfa.2005.12.001
]Search in Google Scholar
[
Miziołek, T., Trzebiński, A.A. 2018. Rynek funduszy inwestycyjnych w Polsce, Difin.
]Search in Google Scholar
[
Nagendra, M., Haritha, M. Ravi, V. 2014. NSE NIFTY and its Correlation with Sectorial Indexes, International Journal of Conceptions on Management and Social Sciences 2 (1). ISSN: 2357 – 2787.
]Search in Google Scholar
[
Nanda, V., Narayanan, M.P., Warther V.A. 2000. Liquidity, investment ability, and mutual fund structure, Journal of Financial Economics 57 (3): 417-443.10.1016/S0304-405X(00)00063-5
]Search in Google Scholar
[
Ning, Y., Wah, L. C., Erdan, L. 2019. Stock price prediction based on error correction model and Granger causality test. Cluster Computing, 22 (2): 4849-4858.10.1007/s10586-018-2406-6
]Search in Google Scholar
[
Okičić, J. 2014. An Empirical Analysis of Stock Returns and Volatility: the Case of Stock Markets from Central and Eastern Europe, The South East European Journal of Economics and Business- Special Issue ICES Conference 9 (1): 7-15.
]Search in Google Scholar
[
Olbryś, J. 2010. Ocena efektywności zarządzania portfelem funduszu inwestycyjnego z wykorzystaniem wybranych wieloczynnikowych modeli market-timing. Optimum 4 (48): 44-61.
]Search in Google Scholar
[
Olbryś, J. 2008. Ocena umiejętności stosowania strategii market-timing przez zarządzających portfelami funduszy inwestycyjnych a częstotliwość danych. Studia i Prace Wydziału Nauk Ekonomicznych i Zarządzania 10: 96-105.
]Search in Google Scholar
[
Pasovic, E., Efendic, A. 2018. Informal Economy in Bosnia and Herzegovina – an Empirical Investigation. The South East European Journal of Economics and Business 13 (2): 112-125.10.2478/jeb-2018-0015
]Search in Google Scholar
[
Patra, T., Poshakwale, S. S. 2008. Long-run and short-run relationship between the main stock indexes: evidence from the Athens stock exchange. Applied Financial Economics, 18 (17): 1401-1410.10.1080/09603100701704314
]Search in Google Scholar
[
Perez, K. 2012. Efektywność funduszy inwestycyjnych. Podejście techniczne i fundamentalne. Difin.
]Search in Google Scholar
[
Piłatowska, M. 2010. Kryteria informacyjne w wyborze modelu ekonometrycznego. Studia i Prace Uniwersytetu Ekonomicznego w Krakowie 10: 25-37.
]Search in Google Scholar
[
Pojanavatee, S. 2014. Cointegration and causality analysis of dynamic linkage between stock market and equity mutual funds in Australia. Cogent Economics & Finance 2 (1). 918855.10.1080/23322039.2014.918855
]Search in Google Scholar
[
Pop, I. (2020). An overview of Central and Eastern European capital markets–similarities and contrasts between Poland, Romania, Croatia and Hungary. Revista Economică 72 (2): 45-57.
]Search in Google Scholar
[
Pynnonen, S., Knif, J. 1998. Common long-term and short-term price memory in two Scandinavian stock markets. Applied Financial Economics, 8 (3): 257-265.10.1080/096031098333014
]Search in Google Scholar
[
Shy, O., Stenbacka, R. 2003. Market structure and diversification of mutual funds. Journal of Financial Markets, 6 (4): 607-624.10.1016/S1386-4181(01)00028-3
]Search in Google Scholar
[
Sitima I., Hlatywayo C. K. 2014. A Risk Metric Assessment of Scenario-Based Market Risk Measures for Volatility and Risk Estimation: Evidence From Emerging Markets, The South East European Journal of Economics and Business 9 (2): 21-32.
]Search in Google Scholar
[
Škare, M. Franc-Dąbrowska, J., Cvek, D. 2020. Cointegration analysis and VECM of FDI, employment, export and GDP in Croatia (2002-2017) with particular reference to the global crisis and poor macroeconomic governance. Equilibrium. Quarterly Journal of Economics and Economic Policy 15 (4): 761–783.10.24136/eq.2020.033
]Search in Google Scholar
[
Wang, X., Wang, X. 2010. A Study on Characteristics of China Open-End Fund Flow Changes Based on Quantile Regression. 2010 International Conference on Internet Technology and Applications: 1-4.10.1109/ITAPP.2010.5566090
]Search in Google Scholar
[
Węgrzyn, T. 2015. Effectiveness of Mutual Funds Applying an Active Portfolio Management. Studia Ekonomiczne. Zeszyty Naukowe Uniwersytetu Ekonomicznego w Katowicach, Nr 239: 141-152.
]Search in Google Scholar
[
Witkowska, D. 2009. Efficiency of the Selected Investment Funds of 2005-2007, Zeszyty Naukowe SGGW w Warszawie. Ekonomika i Organizacja Gospodarki Żywnościowej 74: 39-61.
]Search in Google Scholar
[
Witkowska, D., Kompa K., Grabska M. 2009. Investigation of the Strong Form Efficient Market Hypothesis: the Example of Selected Investment Funds. Metody Ilościowe w Badaniach Ekonomicznych, X: 265-285.
]Search in Google Scholar
[
Witkowska, D., Kompa, K., Matuszewska-Janica, A. 2012. Analysis of Linkages between Central and Eastern European Capital Markets. Dynamic Econometric Models 12: 19-33.10.12775/DEM.2012.002
]Search in Google Scholar
[
Zaimović, A., Araut-Berilo, A. 2015. Risk diversification between stock markets in Germany and Bosnia and Herzegovina. The South East European Journal of Economics and Business 9 (1): 30-36.10.2478/jeb-2014-0003
]Search in Google Scholar
[
Zaimović A., Arnaut-Berilo A., Mustafić A. 2017. Portfolio Diversification in the South-East European Equity Markets, The South East European Journal of Economics and Business 12 (1): 99-108.10.1515/jeb-2017-0010
]Search in Google Scholar
[
Zamojska, A. 2012. Efektywność funduszy inwestycyjnych w Polsce. Studium teoretyczno-empiryczne. Warszawa: CH. Beck.
]Search in Google Scholar
[
Zhou, D., Lu, X., Hu R. 2010. Comparative Research Empirically on Market Risk of Open-end Funds of China Basing on ES and VaR, 2010 3rd International Conference on Information Management, Innovation Management and Industrial Engineering: 80-82.
]Search in Google Scholar
[
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, edited by K. Nermend, M. Łatuszyńska, Springer Proceedings in Business and Economics, 2020: 291-309.
]Search in Google Scholar
[
Żebrowska-Suchodolska, D., Karpio A. 2019. The econometric analysis of the food sector performance on the background of the main market at Warsaw stock exchange. In: Effective Investments on Capital Markets :10th Capital Market Effective Investments Conference (CMEI 2018), edited by W. Tarczyński, K. Nermend, Springer Proceedings in Business and Economics, 2019: 473-483.
]Search in Google Scholar