Stock Selection and Timing Ability of the Taiwan Equity Funds—The Application of Stochastic Beta, GARCH, and Nonlinear GLS

Goo, Yeong-Jia; Chang, Feng-Huei; Chiu, Kuo-Liang

doi:10.4236/me.2015.62013

Cited by 5 publications

(5 citation statements)

References 48 publications

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“…The perverse market timing is conspicuous among the local funds, indicating managers' adversity in predicting the volatile Malaysian equity market (see Table 1 and Figure 2). This finding is not only consistent with evidence documented in Malaysia earlier (Low & Ghazali, 2005), but also in various other markets like the U.S. (Frijns et al, 2013), Denmark (Christensen, 2013), and Taiwan (Goo et al, 2015). In general, this finding suggests that the funds' ability to outperform the market is contributed by their ability in selecting the right stocks, but their performance could have been better had they possess the right market timing abilities.…”

Section: Summary Of Results From Both Local and Global Augmented H-m supporting

confidence: 89%

“…In the study that spans the period from 1995 to 2005, they concluded that market timing and selectivity abilities that are expected from actively managed funds are not empirically supported. In a study period from 2004 to 2009, Goo, Chang, and Chiu (2015) found positive stock selectivity skills in 99% of the 144 Taiwan domestic-equity funds but they are insignificant. However, what is puzzling is the fact that 83% of the funds show negatively significant market timing performances.…”

Section: Literature Reviewmentioning

confidence: 95%

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Performance of Local Versus International Focus Malaysian-based Mutual Funds

Rahim¹,

Ling²,

Mohd‐Rashid³

2019

AAMJAF

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In light of the liberalisation in Malaysia's mutual fund industry, this study examines the performance of 180 internationally-focused against 191 locally-focused Malaysian-based funds using augmented Henriksson-Merton market timing model on daily data starting from January 1995 until December 2015. The results show that the funds generally outperform the market, despite the persistently perverse market timing ability. Although geographically disadvantaged, locally-focused funds prove to be superior to the internationally-focused funds both in terms of returns and risks owing to the informational advantage to better select the stocks from their own market. The results also reveal that size effect is imminent regardless of geographical focus, value investing is significant only among locally-focused funds, while momentum is marginally effective.

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Section: Summary Of Results From Both Local and Global Augmented H-m supporting

confidence: 89%

Section: Literature Reviewmentioning

confidence: 95%

Performance of Local Versus International Focus Malaysian-based Mutual Funds

Rahim¹,

Ling²,

Mohd‐Rashid³

2019

AAMJAF

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“…Researchers report the presence of selectivity timing ability (e.g. Romacho & Cortez 2006;Ang & Lean 2013;Munoz et al 2014;Goo et al 2015), market timing ability (Tschanz 2010;Elton et al 2011;In et al 2014), and volatility timing ability abilities ( Busse 1999;Chunhachinda & Tangprasert 2004;Giambona & Golec 2009;Liao et al 2017). However, these studies do not investigate the factors contributing to these timing abilities.…”

Section: Literature Reviewmentioning

confidence: 99%

Relationship Between Fund Attributes and Timing Abilities: Empirical Evidence from Mutual Funds Industry of Pakistan

Maroof¹,

Aziz²,

Basit³

2020

Forman J. Econ. Stud.

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The timing abilities of fund managers are difficult to observe, therefore, identifying fund attributes explaining fund returns through timing abilities would be helpful to investors in selecting a particular fund. This study is an addition to the scarce literature covering the relationship of fund attributes on timing abilities of the mutual fund industry for an emerging economy, Pakistan, over the period 1999 to 2019. The study has employed a regression approach comprised of two stages. The findings of the study reveal that funds having more exposure to market movements show better market timing abilities and volatility timing abilities but poor selectivity timing abilities. Among all the variables, fund size has the largest impact on selectivity timing ability, depicting the efficiency of managers in selecting the right set of securities. Furthermore, the study concludes that the expense ratio and turnover ratio have a significant positive relationship with market timing abilities. However, the study reports a negative relationship between fund size and market timing ability. For volatility timing ability, the turnover ratio has the strongest effect, followed by market risk and turnover ratio respectively. For other fund attributes, the results report a weak relationship. These results provide valuable insight into the industry to focus more on the quality of the fund attributes resulting in improved timing abilities of fund managers.

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“…Similar results can be also found in Coggings et al (2009), and Gubellini (2014) for the US mutual funds, Foran and O'Sullivan (2014) for the UK, Leite and Cortez (2009) for the Portuguese market, Benson and Faff (2006) for the Australian industry, Gallefoss (2015) for the Norwegian mutual funds, and Bessler et al (2009) for the German market. More recently, Das (2015), Goo et al (2015) and Baek and Park (2015), among others, have implemented conditional fund measures.…”

Section: Introductionmentioning

confidence: 99%

La evaluación del desempeño condicional de las carteras colectivas en colombia

Martínez¹,

Pardo²

2015

criteriolibre

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El presente artículo evalúa la gestión de las carteras colectivas en Colombia tras la entrada en vigor del Decreto 2175 de 2007, que transformó radicalmente la industria de la inversión colectiva en Colombia en términos de la cuantía de activos gestionados, así como en la orientación hacia productos negociados en mercados regulados. En particular, el artículo analiza la gestión de 8 carteras colectivas de renta variable durante el período 2008-2011, tanto con una metodología incondicional, como condicional, que incorpora información pública en la gestión de las carteras. Se utiliza además una evaluación de la gestión dinámica, como complemento a la tradicional única y estática. El artículo da a conocer, primero, que las carteras colectivas de la muestra han sido gestionadas en forma muy satisfactoria durante el período de estudio, aunque sin apreciar diferencias relevantes entre la evaluación incondicional y la condicional.

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Stock Selection and Timing Ability of the Taiwan Equity Funds—The Application of Stochastic Beta, GARCH, and Nonlinear GLS

Cited by 5 publications

References 48 publications

Performance of Local Versus International Focus Malaysian-based Mutual Funds

Performance of Local Versus International Focus Malaysian-based Mutual Funds

Relationship Between Fund Attributes and Timing Abilities: Empirical Evidence from Mutual Funds Industry of Pakistan

La evaluación del desempeño condicional de las carteras colectivas en colombia

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