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Mutual fund managers’ market timing abilities: Indian evidence

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Abstract

In this paper, apart from traditional return timing, we examine the timing abilities of Indian mutual fund managers from two new perspectives, i.e., liquidity timing and volatility timing. Using a sample of 183 equity-oriented funds from April 2000 to March 2018, we find evidence of liquidity timing ability among fund managers at both portfolio and individual level. Our result is robust to different liquidity measure, sub-period test, excluding the crisis period and at the individual fund level analysis. No strong evidence is observed regarding market return timing and volatility timing of fund managers.

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Notes

  1. Centre for Monitoring Indian Economy (CMIE) is a database of the financials of the Indian companies. ProwessIQ provides time series data from 1990 updated on a continuous basis.

  2. S&P BSE 500 index is a free-float weighted index that represents nearly 93% of the total market capitalization on BSE India exchange. This index represents all 20 major industries of the economy.

  3. (0.66 is the timing coefficient of liquidity in Table 4, whereas 0.054 denotes market liquidity standard deviation in Panel B of Table 1).

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  1. Department of Business Administration, Faculty of Management Studies and Research, Aligarh Muslim University, Aligarh, 202002, India

    Mahfooz Alam & Valeed Ahmad Ansari

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  1. Mahfooz Alam
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  2. Valeed Ahmad Ansari
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Alam, M., Ansari, V.A. Mutual fund managers’ market timing abilities: Indian evidence. J Asset Manag 21, 342–354 (2020). https://doi.org/10.1057/s41260-020-00166-1

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