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Performance of Equity Mutual Fund in Indonesia: The Effect of Mutual Fund and Macroeconomic Factors

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  • Nurul Wahyuni Wulandari

    (Department of Management, Universitas Islam Indonesia)

  • Zaenal Arifin

    (Department of Management, Universitas Islam Indonesia)

Abstract

This study examines the influence of mutual fund factors and macroeconomic factors on the performance of equity funds in Indonesia. This study uses fund size, expense ratio, turnover ratio, and market timing ability as mutual fund factors. Meanwhile, the macroeconomic factor use inflation, economic growth, and the money supply. Mutual fund performance is measured using actual return and Jensen alpha. The sample used in this study is equity funds listed on the Indonesia Stock Exchange (IDX) from June 2016 to May 2020. There are 53 equity mutual funds obtained as a sample. This study uses panel data regression to analyze data. The results showed that mutual fund factors and macroeconomic factors as a whole affect the performance of equity funds in Indonesia. Meanwhile, the test results for each variable show that the expense ratio, market timing ability, economic growth, and money supply have significant effects on the performance of equity funds in Indonesia. On the other side, fund size, turnover ratio, and inflation variables do not have a significant effect on the performance of equity funds in Indonesia.

Suggested Citation

  • Nurul Wahyuni Wulandari & Zaenal Arifin, 2021. "Performance of Equity Mutual Fund in Indonesia: The Effect of Mutual Fund and Macroeconomic Factors," International Journal of Research and Scientific Innovation, International Journal of Research and Scientific Innovation (IJRSI), vol. 8(2), pages 105-111, February.
    • Handle: RePEc:bjc:journl:v:8:y:2021:i:2:p:105-111
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    References listed on IDEAS

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    1. Chen, Hsuan-Chi & Lai, Christine W. & Wu, Sheng-Ching, 2016. "Mutual fund selection and performance persistence in 401(k) Plans," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 78-100.
    2. Nathalia Angelina Lucas & Jenry Cardo Manurung & Adler Haymans Manurung & Bahtiar Usman, 2019. "The analysis of market timing, exchange rate of us dollar, and inflation to equity fund performance during 2011-2017," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(5), pages 1-7.
    3. Yuhong Fan, 2018. "Position adjusted turnover ratio and mutual fund performance," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 35(1), pages 65-80, March.
    4. repec:eme:sef000:sef-03-2016-0075 is not listed on IDEAS
    5. Inderjit Kaur, 2018. "Effect of mutual funds characteristics on their performance and trading strategy: A dynamic panel approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 6(1), pages 1493019-149, January.
    6. Stark, Jeffrey R., 2019. "Decomposing mutual fund alpha into security selection and security weighting," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 76-91.
    Full references (including those not matched with items on IDEAS)

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