Research Article
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
@INPROCEEDINGS{10.4108/eai.27-7-2021.2316892, author={Madeline Madeline and Eko Rizkianto}, title={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 }, proceedings={Proceedings of the 4th International Conference on Economics, Business and Economic Education Science, ICE-BEES 2021, 27-28 July 2021, Semarang, Indonesia}, publisher={EAI}, proceedings_a={ICE-BEES}, year={2022}, month={3}, keywords={market timing stock selection equity mutual funds covid-19 indonesia}, doi={10.4108/eai.27-7-2021.2316892} }- Madeline Madeline
Eko Rizkianto
Year: 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
ICE-BEES
EAI
DOI: 10.4108/eai.27-7-2021.2316892
Abstract
This research analyzes the market timing and stock selection ability of 25 top gainers and 25 top losers of equity mutual funds in Indonesia before covid-19 and during the pandemic using time series analysis. Using Treynor-Mazuy and Henriksson-Mertons’ theory, results show before covid-19, there are 9 and 22 mutual funds that doesn’t have market timing ability respectively. Whereas using Jensen’s Alpha method, before covid-19 there are 26 mutual funds that doesn’t have stock selection ability. As for the period of the ongoing covid-19, there are 20 and 29 mutual funds that doesn’t have market timing ability, using Treynor-Mazuy and Henriksson-Merton respectively. There are 28 mutual funds that doesn’t have stock selection ability. Therefore, it was concluded that there is a decline in the performance of market timing and stock selection ability of equity mutual funds during the covid-19 pandemic in Indonesia. The majority of mutual funds which lack of market timing and stock selection ability came from the top losers’ bracket.