Stock Selection and Market Timing Ability to Increase Indonesia's Equity Mutual Fund Performance

Pardomuan Sihombing, Arifin Hasudungan Manurung, Elia Zakchona

Abstract


This study investigates the effect of stock selection, market timing, and fund size on the mutual fund’s performance with Covid-19 as a moderating variable. The sample data is limited to the listed conventional mutual funds supervised by the financial service authorization from 2014 to 2021, denominated in Rupiah currency, have a complete report, and have more than Rp 350 billion in fund equities. The sample data implements twenty-eight of the listed conventional mutual funds and is examined by a random method of Panel data multi-regression with moderated regression analysis (MRA). The result shows that market timing positively affects, and Covid-19 can enhance the effect of stock selection on the mutual fund’s performance. Meanwhile, stock selection, fund size, and Covid-19 do not affect the mutual fund’s performance. Covid-19 cannot moderate the effect of market timing and fund size on the mutual fund’s performance. Fund managers highlight market timing as a crucial indicator of obtaining more returns, and Covid-19 is the best moment to select and collect potential stock at affordable prices and trade them to get more returns after the crisis.

 

DOI: 10.26905/jkdp.v27i4.11047


Keywords


Covid-19, Fund size, Mutual fund’s performance, Market timing, Stock selection

Full Text:

PDF

References


Agarwal, P. K., & Pradhan, H. K. (2019). Mutual fund performance in changing economic conditions: Evidence from an emerging economy. Cogent Economics & Finance, 7(1), 1687072. https://doi.org/10.1080/23322039.2019.1687072

Agustin, E., Wijaya, M., & Priyatama, T. (2022). Majalah Ilmiah Manajemen & Bisnis Faktor-Faktor Yang Mempengaruhi Kinerja Reksa Dana Saham Di Indonesia.

Amalia, D., & Sihombing, P. (2014). Analisis Kemampuan Stock Selection dan Market Timing pada Reksa Dana Saham di Indonesia Periode Januari 2008- Juli 2013. Journal of Capital Market and Banking, 2(2), 1–11.

Ariswati, L. D., Iskandar, R., & Azis, M. (2021). Performance Analysis of Mutual Funds Based on Market Timing Ability and Stock Selection Skill during Covid-19 Pandemic in Indonesia. Saudi Journal of Business and Management Studies, 6(7), 250–255. https://doi.org/10.36348/sjbms.2021.v06i07.004

Ayu, G., & Asriwahyuni, P. (2017). Pengaruh Ukuran dan Umur pada Kinerja Reksa Dana Saham di Indonesia. 21, 1460–1487. https://doi.org/10.24843/EJA.2017.v21.i02.p22

Baker, M., & Wurgler, J. (2002). Market Timing and Capital Structure. The Journal of Finance, 57(1), 1–32. http://www.jstor.org/stable/2697832

Baltagi, B. H. (2014). Panel Data and Difference-in-Differences Estimation. In Encyclopedia of Health Economics (Vol. 2). Elsevier Ltd. https://doi.org/10.1016/B978-0-12-375678-7.00720-3

Baltagi, B. H. (2021). Economectrics. In Springer (6 Edition). Springer. http://www.springer.com/series/16375

Bani Atta, A. A., & Marzuki, A. (2021). Selectivity and Market Timing Ability of Mutual Fund Houses in Emerging Countries. International Journal of Banking and Finance, 16. https://doi.org/10.32890/ijbf2021.16.1.2

Bauman, W. . S. (1968). Evaluation of Prospective Investment Performance. Journal of Finance, 23(2), 276–295.

Bodie, Z., Kane, A., & Marcus, A. J. (2018). Investments. McGraw-Hill .

Boediono. (2014). Seri Sinopsis Pengantar Ilmu Ekonomi. BPFE .

Breusch, T. ., & Pagan, A. . (1980). The Lagrange Multiplier Test and Its Applications to model Specification in Econometrics. The Review of Economic Studies, 47(1), 239–253. https://doi.org/https://doi.org/10.2307/2297111

Bu, Q., & Forrest, J. (2021). Comparing sentiment measures in mutual fund performance. International Journal of Managerial Finance, 17(3), 478–493. https://doi.org/10.1108/IJMF-02-2020-0092

Budiono, M. A., & Musdalifah, A. (2020). The Effect of Market Timing Ability and Fund Size on Mutual Funds Performance of Mutual Fund Companies in Indonesia.

Chen, B. J., Hong, H., Huang, M., & Kubik, J. D. (2004). Does Fund Size Erode Mutual Fund Performance ? American Economic Association, 94(5), 1276–1302.

Cici, G., Gehde-Trapp, M., Göricke, M.-A., & Kempf, A. (2018). The Investment Value of Fund Managers’ Experience outside the Financial Sector. The Review of Financial Studies, 31(10), 3821–3853. https://www.jstor.org/stable/48616778

Dwiyana, M., Nur Indah Riwajanti, & Fita Setiadi. (2023). Analisis Securities Selection Skill dan Market Timing Ability pada Kinerja Reksadana Syariah Campuran di Bursa Efek. Jurnal Riset Dan Aplikasi: Akuntansi Dan Manajemen, 2(3). https://doi.org/10.33795/jraam.v2i3.77

Elton, E. J., & Gruber, M. J. (2020). A Review of the Performance Measurement of Long-Term Mutual Funds. Financial Analysts Journal, 76(3), 22–37. https://doi.org/10.1080/0015198X.2020.1738126

Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2014). Modern Portfolio Theory and Investment Analysis (9th edition,). Wiley.

Erdos, T. (1973). Investment and Economic Growth. Acta Economica, 11(4), 281–303.

Fabozzi, F. J., & Mann, S. V. (2021). The Handbook of Fixed Income Securities (11 edition). Mc Graw Hill.

Grant, D. (1978). Market Timing and Portfolio Management. The Journal of Finance, 33(4), 1119–1131. https://doi.org/10.1111/j.1540-6261.1978.tb02052.x

Gujarati, D. (2015). Econometrics by Example Second Edition (M. Education (ed.); Second Edi).

Gusni, Silviana, & Hamdani, F. (2018). Factors affecting equity mutual fund performance: evidence from Indonesia. Investment Management and Financial Innovations, 15(1), 1–9. https://doi.org/10.21511/imfi.15(1).2018.01

Hartono, J. (2013). Teori Portofolio dan Analisis Investasi (Edisi Kedelapan). Badan Penerbit Fakultas Ekonomi dan Bisnis UGM.

Hausman, J. . (1978). Specification Tests in Econometrics. Econometrica, 46(6), 1251–1271. https://doi.org/10.1007/978-981-10-5466-2_5

Henriksson, R. D. (1984). Market Timing and Mutual Fund Performance: An Empirical Investigation. The Journal of Business, 57(1), 73–96. https://doi.org/10.1086/296505

Henriksson, R. D., & Merton, R. C. (1981). On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills. The Journal of Business, 54(4), 513–533. http://www.jstor.org/stable/2352722

Indonesia Stock Exchange. (2021). Annual Report 2021 - Outperforming Expectations Amidst Uncertainties. https://www.idx.co.id/id/tentang-bei/laporan-tahunan/

Indonesia Stock Exchange. (2022). REKSA DANA SYARIAH Direktorat Pasar Modal Syariah – Otoritas Jasa Keuangan Per Januari 2022 (Issue April). https://www.ojk.go.id/id/kanal/syariah/data-dan-statistik/reksa-dana-syariah/Pages/Statistik-Reksa-Dana-Syariah---April-2022.aspx

Indro, D. C., Jiang, C. X., Hu, M. Y., & Lee, W. Y. (1999). Investment: A History. Financial Analysts Journal, 55(3), 74–87. https://doi.org/10.7312/ream16952

Infovesta. (2022). Grafik Imbal Hasil Reksa Dana.

Kireina, I. T., Sampurno, D., & Manajemen, J. (2016). Analisis Pengaruh Stock Selection Skill dan Market Timing Ability dengan Metode Treynor-Mazuy dan Henriksson-Merton Terhadap Kinerja Reksa Dana Saham (Studi Pada Reksa Dana Saham Tahun 2010-2014). Diponegoro Journal of Management, 5(2), 1–10.

Lailiyah, E. H., & Setiawan, R. (2020). Stock Selectivity Skill, Market Timing Ability, Risiko, Size, and Comparison of Performance Islamic Share Mutual Funds. Jurnal Ekonomi Islam, 9(2), 137. https://doi.org/10.36835/iqtishoduna.v9i2.489

Martellini, L., Priaulet, P., & Priaulet, S. (2003). Fixed-Income Securities: Valuation, Risk Management, and Portfolio Strategies. Wiley Finance.

Merton, R. C. (1969). Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case. The Review of Economics and Statistics, 51(3), 247. https://doi.org/10.2307/1926560

Millán-Oñate, J., Rodriguez-Morales, A. J., Camacho-Moreno, G., Mendoza-Ramírez, H., Arturo Rodríguez-Sabogal, I., & Álvarez-Moreno, C. (2020). A new emerging zoonotic virus of concern: the 2019 novel Coronavirus (SARS CoV-2). https://gisanddata.

Mirza, N., Hasnaoui, J. A., Naqvi, B., & Rizvi, S. K. A. (2020). The impact of human capital efficiency on Latin American mutual funds during Covid-19 outbreak. Swiss Journal of Economics and Statistics, 156(1). https://doi.org/10.1186/s41937-020-00066-6

OCED. (2020). The territorial impact of COVID-19 : Managing The Crisis Across Levels of Government. In Organization for Economic Cooperation and Development (Issue April). https://www.oecd.org/coronavirus/policy-responses/the-territorial-impact-of-covid-19-managing-the-crisis-across-levels-of-government-d3e314e1/

Pratama, I. P. B. S., & Wirama, I. D. G. (2018). Pengaruh Inflasi, IHSG, Ukuran dan Umur pada Kinerja Reksa Dana Saham Periode 2012 - 2016. E-Jurnal Akuntansi, 842. https://doi.org/10.24843/EJA.2018.v23.i02.p02

Rachmah, D. A., Juniar, A., Ekonomi, F., & Bisnis, D. (2018). Analisis Pengaruh Stock Selection Skill, Market Tining Ability, dan Fund Longevity Terhadap Kinerja Reksa Dana Saham Syariah. In Jurnal Sains Manajemen dan Kewirausahaan (JSMK) (Vol. 2, Issue 1).

Rakshit, B., & Neog, Y. (2022). Effects of the Covid-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies. Studies in Economics and Finance, 39(4), 549–571. https://doi.org/10.1108/SEF-09-2020-0389

Raza, M. W. (2021). Does the Choice of Stock Selection Criteria Affect the Performance of Sharīah-Compliant Equity Portfolios? ISRA International Journal of Islamic Finance, 13(2), 264–280. https://doi.org/10.1108/IJIF-07-2020-0139

Rizki, O. :, & Pajar, C. (2017). Influence of Investment Motivation and Investment Knowledge on Investment Interest in Capital Market. Jurnal Profita.

Sharpe, W. F., & Sharpet, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19(3), 425–442. http://www.jstor.org/stable/2977928%5C

Sinha, S. (2010). Performance of Mutual funds. Economic and Political Weekly, 45(30), 5. https://doi.org/10.26643/gis.v14i4.6241

Sudarmanto, Damanik, K., Sriwiyanti, A., & Purba, B. (2021). Pasar Uang dan Pasar Modal. Yayasan Kita Menulis.

Sugiyono. (2017). Metode Penelitian Bisnis: Pendekatan Kuantitatif, Kualitatif, Kombinasi, dan R&D. CV. Alfabeta.

Susilo, E., & Najah, A. (2018). Stock performance of Jakarta Islamic Index based on sharpe, Treynor and Jensen method. Jurnal Ekonomi & Keuangan Islam, 4(2), 67–74. https://doi.org/10.20885/jeki.vol4.iss2.art2

Svendsen, C., & Ebert, A. (1936). American Association for the Advancement of Science. Encyclopedia of Stem Cell Research, 83(2161), 507–511. https://doi.org/10.4135/9781412963954.n6

Szymczyk, Ł., Van Horne, R., & Perez, K. (2022). Modeling Distress in US High Yield Mutual Funds Before and During the Covid-19 Pandemic. Folia Oeconomica Stetinensia, 22(1), 263–286. https://doi.org/10.2478/foli-2022-0013

Wicaksono, M. P., & Sampurno, D. R. (2017). Analisis Pengaruh Fund Age, Market Timing Ability, Stock Selection Skill, Portofolio Turnover dan Fund Size Terhadap Kinerja Reksa Dana Syariah Periode 2013-2015. Diponegoro Journal of Management, 6(3), 1–11.

Widarjono, A. (2018). Ekonometrika Pengantar Dan Aplikasinya Disertai Panduan Eviews (Kelima). UPP STIM YKPN .

Wulandari, L., & Sukoco, Y. D. (2023). Pengaruh Expense Ratio, Portofolio Turnover, Fund Flow, dan Fund Size terhadap Kinerja Reksa Dana Saham di Indonesia Tahun 2020-2021. Jurnal E-Bis, 7(1), 341–353. https://doi.org/10.37339/e-bis.v7i1.1172

Zhang, Z. (2019). Reexamining the Market Timing Ability of Equity Funds in China—Cash-Flow and Discount-Rate Perspective. Journal of Service Science and Management, 12(07), 767–789. https://doi.org/10.4236/jssm.2019.127052




DOI: https://doi.org/10.26905/jkdp.v27i2.11047

Refbacks

  • There are currently no refbacks.


Bookmark and Share


Jurnal Keuangan dan Perbankan (Journal of Finance and Banking)

Diploma Program of Banking and Finance, Faculty of Economics and Business, University of Merdeka Malang

Published by University of Merdeka Malang

Mailing Address:
2nd floor Finance and Banking Building, Jl. Terusan Raya Dieng No. 57 Malang, East Java, Indonesia
Phone: -
Email: [email protected]

This work is licensed under a Creative
Commons Attribution-ShareAlike 4.0