Selectivity and market timing performance of Malaysian unit trust funds : comparison between KLCI index and EMAS index / Akmal Lina Akhpah

Akhpah, Akmal Lina (2007) Selectivity and market timing performance of Malaysian unit trust funds : comparison between KLCI index and EMAS index / Akmal Lina Akhpah. [Student Project] (Submitted)

Abstract

The investment performance of mutual fund has attracted considerable research in the literature of finance and there has been much controversy about the ability of fund managers to outperform the market. The paper seeks to examine whether selectivity and timing performance of fund manager is sensitive to the choice of market benchmark. Also this paper investigates the sensitivity of the performance components of unit trusts funds (market timing and selectivity) to alternative specification of the market. The two benchmark used are the Kuala Lumpur Composite Index (KLCI) and the exchange Main Board All-Share (Emas Index. The paper employed a model developed by Henriksson and Merton (1981) to simultaneously test for the presence of market timing and or security selection ability of fund manager. The traditional Jensen's (1968; 1969) model is used to estimate the fund's overall performance. Recent empirical findings indicating that fund managers have negative timing ability are provided by Grinblatt and Titman (1989B), Cumby and Glen (1990), Connor and Koraiczyk (1991), Chen et al. (1992), and Coggon et al. (1993)

Metadata

Item Type: Student Project
Creators:
Creators
Email / ID Num.
Akhpah, Akmal Lina
2005764027
Contributors:
Contribution
Name
Email / ID Num.
Thesis advisor
Basri, Basaruddin Shah
UNSPECIFIED
Thesis advisor
Jaafar, Mohd Sukor
UNSPECIFIED
Thesis advisor
Ibrahim, Zin
UNSPECIFIED
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation
H Social Sciences > HG Finance > Investment, capital formation, speculation > Investment companies. Investment trusts. Mutual funds
Divisions: Universiti Teknologi MARA, Johor > Segamat Campus > Faculty of Business and Management
Programme: Bachelor of Business Administration (Hons) Finance
Keywords: Kuala Lumpur Composite Index; Exchange Main Board All-Share Index ; KLCI, EMAS
Date: 2007
URI: https://ir.uitm.edu.my/id/eprint/72247
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