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Title:	Market timing of Malaysian mutual funds: market efficiency, geographical focus and shariah-compliant status
Authors:	Ling Pick Soon (P90606 )
Supervisor:	Ruzita Abdul-Rahim, Assoc. Prof. Dr.
Keywords:	Mutual funds -- Malaysia Financial institutions -- Investments -- Malaysia Investments -- Malaysia Universiti Kebangsaan Malaysia -- Dissertations Dissertations, Academic -- Malaysia
Issue Date:	31-Dec-2019
Description:	The performance of equity mutual funds (EMFs) should be attributed to the fund managers�� stock selection and market timing abilities. Empirically, numerous studies have documented that Malaysian fund managers have exhibited perverse market timing abilities, while they were rather consistent in showing effective stock selection skills. The perverse market timing ability is puzzling, particularly because voluminous empirical evidence has indicated that the Malaysian stock market is still inefficient in the weak form. This weak form inefficiency implies a vast opportunity for generating abnormal returns through market timing strategies like technical analysis. Therefore, this study to provide explanations for the EMFs�� perverse market timing by (i) directly associating it with the market efficiency of the EMFs�� component stocks; and (ii) indirectly through the level of economic development of their geographically focused areas. In addition, this study also examines if Shariah-compliant EMFs would have poorer market timing abilities relative to their conventional counterparts. This study has used daily data of 423 Malaysian-domiciled EMFs that were associated with 443 component stocks of 26 different markets from January 1998 to December 2017. Consequently, the study measured the randomness (market efficiency) of the component stocks by employing the Ljung-Box autocorrelation test, the Lo-Mackinlay variance ratio test, the runs test and the GARCH family models. This study estimated the market timing of EMFs using Carhart-augmented Treynor-Mazuy and Henriksson-Merton models with OLS and TGARCH-M methods. The results, in general, were consistent with previous studies in that the EMFs were good in stock selection skills and ineffective in market timing skills. This study found that market efficiency (randomness) of the component stocks seemed to have some influence on market timing ability but statistically, the associations were insignificant. Meanwhile, market efficiency proxied by the economic development of the geographical focus areas provided more positive results. The market timing ability was worst among locally-focused funds and the least poor among emerging (global/international) market funds. Market timing ability in developed market funds was also poor but slightly better than locally-focused funds. In conclusion, the direct and indirect results in this study intuitively implied that the EMFs�� poor market timing abilities were only partially due to the efficiency of the market. Put differently, the poor market timing abilities were also partially due to the managers�� poor skills, knowledge, and tools that incapacitate them from effectively executing the market timing. Meanwhile, Shariah-compliant status did not differentiate market timing ability among locally-focused EMFs, but it did differentiate the abilities among foreign-focused EMFs. The difference seemed to suggest that Shariah-compliant foreign EMFs benefited from the Foreign Exchange Administration rules, which allowed them to invest up to 100% of their NAV in foreign markets.,Ph.D.
Pages:	245
Call Number:	HG4530.L536 2019 tesis
Publisher:	UKM, Bangi
Appears in Collections:	Faculty of Economy and Management / Fakulti Ekonomi dan Pengurusan

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