The Evaluation of Market Timing Ability, Stock Selection Ability and Performance Persistence of ASEAN Stock Mutual Funds

• Main Authors: Hsiu-Jung Lee, 李秀蓉
• Other Authors: Dr. Wo-Chaing Lee
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/03346212034348105951

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 104 === There were only eight ASEAN Stock Mutual Funds before the financial crisis in 2008 but have been expanded since investors found the ASEAN was the only region, where its economy continued to grow comparing to other regions. The purposes of this study were to explore fund managers’ market timing ability and stock selection ability and to evaluate the performance of ASEAN Stock Mutual Funds issued for over four years. The author analyzed data from one-year, two-year and four-year periods of ASEAN Funds and used Sharpe, Treynor, Jensen and IR to evaluate their performance. The study also examined their performance persistence by using Spearman and adopted the traditional T-M model, H-M model and modified T-M-GARCH and H-M-GARCH to explore the fund managers’ abilities of market timing and stock selection and compare the systematic risk. The empirical study revealed that performance indicator was better at four-year period of ASEAN Mutual Fund and performance persistence at most of ASEAN Mutual Fund was statistically significant. In terms of market timing ability and stock selection ability for fund managers, the study showed that, overall, they were better than that of market benchmark but were lack of stock selection ability. The results of this study can also be a reference as investors’ practical operation.