IDEAS home Printed from https://ideas.repec.org/a/usm/journl/aamjaf01502_53-75.html
   My bibliography  Save this article

Performance of Local Versus International Focus Malaysian-based Mutual Funds

Author

Listed:
  • Ruzita Abdul Rahim

    (Faculty of Economics and Management, Universiti Kebangsaan Malaysia, UKM Bangi, 43600, Selangor, Malaysia)

  • Ling Pick Soon

    (Faculty of Economics and Management, Universiti Kebangsaan Malaysia, 43600, UKM Bangi, Selangor, Malaysia
    School of Business and Management, University College of Technology Sarawak, No. 1, Jalan Universiti, 96000 Sibu, Sarawak, Malaysia)

  • Rasidah Mohd Rashid

    (School of Economics, Finance and Banking, College of Business, Universiti Utara Malaysia, 06010 UUM Sintok, Kedah, Malaysia)

Abstract

In light of the liberalisation in Malaysia’s mutual fund industry, this study examines the performance of 180 internationally-focused against 191 locally-focused Malaysian-based funds using augmented Henriksson-Merton market timing model on daily data starting from January 1995 until December 2015. The results show that the funds generally outperform the market, despite the persistently perverse market timing ability. Although geographically disadvantaged, locally-focused funds prove to be superior to the internationally-focused funds both in terms of returns and risks owing to the informational advantage to better select the stocks from their own market. The results also reveal that size effect is imminent regardless of geographical focus, value investing is significant only among locally-focused funds, while momentum is marginally effective.

Suggested Citation

  • Ruzita Abdul Rahim & Ling Pick Soon & Rasidah Mohd Rashid, 2019. "Performance of Local Versus International Focus Malaysian-based Mutual Funds," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 15(2), pages 53-75.
    • Handle: RePEc:usm:journl:aamjaf01502_53-75
    as

    Download full text from publisher

    File URL: http://web.usm.my/journal/aamjaf/aamjaf15022019/aamjaf15022019_3.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Karen K. Lewis, 1999. "Trying to Explain Home Bias in Equities and Consumption," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 571-608, June.
    2. Jianhua Gang & Zongxin Qian, 2016. "Risk-Adjusted Performance of Mutual Funds: Evidence from China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(9), pages 2056-2068, September.
    3. Ekholm, Anders G., 2012. "Portfolio returns and manager activity: How to decompose tracking error into security selection and market timing," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 349-358.
    4. Anonymous, 1964. "International Monetary Fund," International Organization, Cambridge University Press, vol. 18(4), pages 872-873, October.
    5. Praveen K. Das & S.P. Uma Rao, 2013. "Performance evaluation of socially responsible mutual funds using style analysis," Social Responsibility Journal, Emerald Group Publishing Limited, vol. 9(1), pages 109-123, March.
    6. Anonymous, 1964. "International Monetary Fund," International Organization, Cambridge University Press, vol. 18(4), pages 855-859, October.
    7. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.
    8. Anonymous, 1964. "International Monetary Fund," International Organization, Cambridge University Press, vol. 18(3), pages 616-621, July.
    9. Anonymous, 1964. "International Monetary Fund," International Organization, Cambridge University Press, vol. 18(1), pages 193-196, January.
    10. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    11. DeMaskey, Andrea L & Dellva, Wilfred L & Heck, Jean L, 2003. "Benefits from Asia-Pacific Mutual Fund Investments with Currency Hedging," Review of Quantitative Finance and Accounting, Springer, vol. 21(1), pages 49-64, July.
    12. Cuthbertson, Keith & Nitzsche, Dirk, 2013. "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 86-101.
    13. Bart Frijns & Aaron Gilbert & Remco C.J. Zwinkels, 2013. "Market timing ability and mutual funds: a heterogeneous agent approach," Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1613-1620, October.
    14. Jonathan Fletcher & Andrew Marshall, 2005. "The Performance of UK International Unit Trusts," European Financial Management, European Financial Management Association, vol. 11(3), pages 365-386, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ana Kristel Lapid & Rogelio Mercado & Peter Rosenkranz, 2023. "Concentration in Asia's cross‐border banking: Determinants and impacts," Pacific Economic Review, Wiley Blackwell, vol. 28(2), pages 267-292, May.
    2. Nabi, Ijaz & Malik, Abdul & Hattari, Rabin & Husain, Turab & Shafqat, Adeel & Anwaar, Sana & Rashid, Ammar, 2010. "Economic growth and structural change in South Asia: miracle or mirage?," LSE Research Online Documents on Economics 36389, London School of Economics and Political Science, LSE Library.
    3. Anthony M. Solomon, 1983. "Toward a more resilient international financial system," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 7(Sum).
    4. Mr. James M. Boughton, 2002. "On the Origins of the Fleming-Mundell Model," IMF Working Papers 2002/107, International Monetary Fund.
    5. Şerife Özşahin & Gülbahar Üçler, 2017. "The Consequences of Corruption on Inflation in Developing Countries: Evidence from Panel Cointegration and Causality Tests," Economies, MDPI, vol. 5(4), pages 1-15, December.
    6. Ansari, S. A. & Khan, W., 2018. "Relevance of Declining Agriculture in Economic Development of South Asian Countries: An Empirical Analysis," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 10(2).
    7. Ryan Federo & Angel Saz‐Carranza, 2020. "A typology of board design for highly effective monitoring in intergovernmental organizations under the United Nations system," Regulation & Governance, John Wiley & Sons, vol. 14(2), pages 344-361, April.
    8. Doessel, Darrel & Valadkhani, Abbas, 2003. "The Demand for Current Public Expenditure in Fiji: Theory and Empirical Results," MPRA Paper 50392, University Library of Munich, Germany.
    9. Krasnopjorovs, Olegs, 2013. "Latvijas ekonomikas izaugsmi noteicošie faktori [Factors of Economic Growth in Latvia]," MPRA Paper 47550, University Library of Munich, Germany.
    10. John H. Boyd & David S. Dahl & Carolyn P. Line, 1983. "A primer on the International Monetary Fund," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 7(Sum).
    11. Lars Osberg & Andrew Sharpe, 2003. "Human Well-being and Economic Well-being: What Values Are Implicit in Current Indices?," CSLS Research Reports 2003-04, Centre for the Study of Living Standards.
    12. Mr. Ken Miyajima, 2007. "What Do We Know About Namibia’s Competitiveness?," IMF Working Papers 2007/191, International Monetary Fund.
    13. Kashif Munir & Shahzad Arshad, 2018. "Factor accumulation and economic growth in Pakistan: incorporating human capital," International Journal of Social Economics, Emerald Group Publishing Limited, vol. 45(3), pages 480-491, March.
    14. Houck, James P., 1973. "Some Aspects Of Income Stabilization For Primary Producers," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 17(3), pages 1-16, December.
    15. Acosta, Juan & Cherrier, Beatrice, 2018. "The transformation of economic analysis at the Federal Reserve during the 1960s," SocArXiv vdy2z, Center for Open Science.
    16. Karen Taylor & Craig Tipping & Adam McKissack, 2004. "IMF Quotas, Representation and Governance," Treasury Working Papers 2004-03, The Treasury, Australian Government, revised Nov 2004.
    17. Ilse Mintz, 1967. "Traditional versus Expansionist Views on Export Changes During Business Cycles," NBER Chapters, in: Cyclical Fluctuations in the Exports of the United States since 1879, pages 3-26, National Bureau of Economic Research, Inc.
    18. Sayeeda Bano, 2014. "An Empirical Examination of Trade Relations between New Zealand and China in the Context of a Free Trade Agreement," Working Papers in Economics 14/04, University of Waikato.
    19. Sushanta Mallick, 2001. "Dynamics of Macroeconomic Adjustment with Growth: Some Simulation Results," International Economic Journal, Taylor & Francis Journals, vol. 15(1), pages 115-139.
    20. James M. Boughton, 2003. "On the Origins of the Fleming-Mundell Model," IMF Staff Papers, Palgrave Macmillan, vol. 50(1), pages 1-1.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:usm:journl:aamjaf01502_53-75. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Journal Division, Penerbit Universiti Sains Malaysia (email available below). General contact details of provider: https://edirc.repec.org/data/aammmea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.