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Selection and Market Timing Ability of BIST 30 Indexes Funds

Author

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  • Şahin, Arzu

    (Adana Science and Technology University)

Abstract

The index fund managers, who aim to offer the investor at least as much as the return of the base index, are expected to exhibit selection and timing ability. Based on this expectation the aim of this study is to investigate the selection and timing ability of BIST 30 indexes funds. Therefore, the selection and timing ability of fund managers were tested by applying Treynor-Mazuy, Henriksson-Merton and Jensen-Alpha methods to the daily returns of 7 BIST 30 indexes funds between the time period of January 2005 and December 2015. The analysis findings indicate that none of the 7 funds had statistically significant positive alphas and related timing coefficients so BIST 30 index funds managers did not have selective ability and market timing ability.

Suggested Citation

  • Şahin, Arzu, 2017. "Selection and Market Timing Ability of BIST 30 Indexes Funds," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 8(1), pages 63-81, January.
    • Handle: RePEc:ris:buecrj:0259
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    More about this item

    Keywords

    Index Mutual Funds; Selection; Timing; Quadratic Regression; Dummy Variable Regression;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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