Title: Market timing and stock selection performance of mutual fund in bull and bear market condition
Authors: V. Santi Paramita; Bahri Jafar; Ifan Wicaksana Siregar
Addresses: Faculty of Economics, University of Jenderal Achmad Yani, Jawa Barat, Cimahi, 40512, Indonesia ' Accounting Department, State Polytechnic of Ujung Pandang, Makasar, 90245, Indonesia ' Faculty of Economics, University of Jenderal Achmad Yani, Cimahi, 40512, Indonesia
Abstract: This study aims to measure the performance of stock mutual fund in Indonesia by using a Paramita model. This study used a sample of 30 stock mutual funds, which were actively traded in the period 2008-2012. The study period was divided into two periods: economic crisis and after economic crisis. The results showed that on the crisis period, during the bull market, the majority of stock mutual funds in Indonesia have the best performance of market timing and stock selection. While in the bear market, several mutual fund only have the best performance of market timing, but bad performance of stock selections. But on after crisis period, most of the mutual funds indicate bad performance of market timing in bull and bear market conditions. But in the bull market conditions, most of the mutual funds were showed a good performance of stock selections.
Keywords: mutual fund performance; bull and bear market; market timing; stock selection.
International Journal of Monetary Economics and Finance, 2017 Vol.10 No.3/4, pp.309 - 321
Available online: 10 Oct 2017 *Full-text access for editors Access for subscribers Purchase this article Comment on this article