Analisis Market Timing Ability Dan Stock Selection Skill Manajer Investasi Reksa Dana Saham Di Indonesia Periode 2007-2012
This study aims to analyze the performance of equity mutual fund in Indonesia by looking at the ability of market timing and stock selection. Performance measurements carried out by the method of measurement with riskadjusted measures equipped with an analysis by the method of Treynor-Mazuy (1966)....
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| Main Authors: | , |
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| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2012
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/100740/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=57254 |
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| Summary: | This study aims to analyze the performance of equity mutual fund in
Indonesia by looking at the ability of market timing and stock selection.
Performance measurements carried out by the method of measurement with riskadjusted
measures equipped with an analysis by the method of Treynor-Mazuy
(1966). This study uses monthly data NAV / Unit of equity mutual fund in
Indonesia 2007-2012 period based on a sample of 10 firms of the Investment
Manager.
From the result of this study, concluded that the performance of equity
mutual fund GMT Dana Ekuitas is managed by PT. GMT Aset Manajemen as
manager of the investment, scored the highest performance of the 10 samples that
had been taken while BNI Dana Berkembang performance is the smallest value as
well underperformed. In this study, it was found that nine out of ten samples of
the equity mutual fund managed by all fund managers with a positive value
indicates the probability of t-statistic values are not significant at the α = 5
percent. Only BNI Dana Berkembang is managed by PT. BNI Securities showed
negative results. Thus, since the probability of t-statistics are not significant at the
α = 5 percent, it can be concluded that the equity mutual fund managed by
investment managers in this study do not have market timing and stock selection
ability by individual test.
By using a panel data regression for the entire test on the model of
Treynor-Mazuy, it can be concluded that the investment manager in Indonesia do
not have a stock selection skill and market timing ability. This is evidenced by the
coefficient αp and βpt positive but not statistically significant. |
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