Selectivity and Market Timing Performance in a Developing Country’s Fund Industry: Thai Equity Funds Case

Ravi Lonkani, Theeralak Satjawathee and Kandiah Jegasothy

Journal of Applied Finance & Banking, 2013, vol. 3, issue 2, 6

Abstract: Fund selectivity and market timing are two fundamental fund manager’s abilities that determine fund performance. These issues are re-visited to investigate selectivity and market timing aspects of Thai equity funds from 1992 to 2004. Because this time period contains a business cycle, the findings could empirically evidence varying fund manager behaviors under expansion and contraction phases of an economy. Jensen Alpha is employed to examine the selectivity performance. Treynor and Mazuy (TM), and, Henriksson and Merton (HM) measures are used to test the market timing performance. The achievement of the aim will involve investigation of selectivity and market timing performance in nine overlapping periods (five years each). The overall results indicate that fund managers have negative selectivity and timing abilities. Results on selectivity and market timing performance of the nine overlapping periods indicate that during the early period fund managers did a better job than during the financial crisis period. Selectivity and market timing investigations are sparse in Thailand and the findings of the existing ones are suffer from sampling error. Hence the results of this study could be very useful not only to the Thai fund industry but also to other emerging fund industries in the Asian region.

Date: 2013
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