Stock Selection and Market Timing Ability to Increase Indonesia's Equity Mutual Fund Performance
DOI:
https://doi.org/10.26905/jkdp.v27i2.11047Keywords:
Covid-19, Fund size, Mutual fund’s performance, Market timing, Stock selectionAbstract
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.
Â
DOI: 10.26905/jkdp.v27i4.11047
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-RamÃrez, H., Arturo RodrÃguez-Sabogal, I., & Ãlvarez-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, Å., 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
Downloads
Published
Issue
Section
License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
