Market Timing
Market Timing and Stock Selection ability of Mutual Funds in India
The study is aimed to find stock selection and market timing abilities of the Indian mutual funds managers as evaluation of performance of mutual funds and identification of successful fund managers are useful for investors and academicians. As these help in efficient allocation of funds and consistent superior performance requires forecasting skills. Thus a good fund manager can change the beta of portfolio to suit the market situation Here analysis is done on monthly as well weekly return data of equity funds for period Jan 2000 to June 2005 is taken for 96 schemes from BSE SENSEX and NIFTY are used to get better results . To analyze the market timing ability and stock selection ability conditional and unconditional models are used. The traditional model of TM and HM (unaltered). For conditional Model altered TM and HM models are used with additional data treasury bill interest rate, market dividend yield, forex rate fluctuation.
Regression Model Market Timing Ability Stock Timing Ability
Unconditional TM Model Nearly absent with negative evidence More evident
Unconditional HM Model Nearly absent with negative evidence Much more evident
Conditional TM Model Nearly absent with reduced negative evidence Evident but less compared to unconditional model
Conditional HM Model Nearly absent with reduced negative evidence Evident but less compared to unconditional model
With study in all four models author has attempted to arrive on more accurate results in both market timing ability and Stock timing ability. The above matrix as derived from the research done indicates positive timers are nearly missing in both monthly data and weekly data analysis though minor improvement is seen with weekly data. Though strong evidence of positive stock selection is found in all the models. Thus it suggests that Indian fund managers are more inclined...
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