SELECTIVITY AND MARKET TIMING SKILLS IN EMERGING GREEK EQUITY MUTUAL FUNDS DURING THE SOVEREIGN DEBT CRISIS

A. Nikolas Kyriazis, Alexandros Koulis, Stephanos Papadamou and Christina Beneki
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A. Nikolas Kyriazis: Department of Economics, University of Thessaly, Greece
Alexandros Koulis: Department of Business Administration, Ionian University, Greece
Christina Beneki: Department of Business Administration, Ionian University, Greece

Studies in Business and Economics, 2020, vol. 15, issue 2, 133-150

Abstract: This paper evaluates the performance of seventeen Greek equity mutual funds before and after the sovereign debt crisis. By being based on the Capital Asset Pricing Model (CAPM), the selectivity and market timing skills of these funds are under scrutiny. This takes place by assigning a linear form to the Beta coefficient and transforming the traditional CAPM equation into a second order polynomial. Results provide evidence of an improvement in selectivity and market timing skills for the majority of these emerging funds after the outburst of the debt crisis and the adoption of measures by Troika. Thereby, the potential of excess profit-making possibilities for capable fund managers in the Greek fund market is enhanced during non-conventional periods in comparison to normal times, even though the Efficient Markets Hypothesis (EMH) still holds.

Keywords: Sovereign debt crisis; Stock selectivity; Market timing; Greek equity mutual funds (search for similar items in EconPapers)
Date: 2020
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