研究生: |
Sannithi Yamsawat Sannithi Yamsawat |
---|---|
論文名稱: |
泰國平衡型共同基金的選股和市場擇時能力:COVID-19 時期的證據 Selectivity and Market Timing Ability of the Balanced Mutual Fund; Evidence of Thailand Mutual Funds (COVID-19 period) |
指導教授: |
陳俊男
Chun-Nan Chen |
口試委員: |
曾凱逸
Kae-Yih Tzeng 謝劍平 Joseph C.P. Shieh 林軒竹 Hsuan-Chu Lin |
學位類別: |
碩士 Master |
系所名稱: |
管理學院 - 財務金融研究所 Graduate Institute of Finance |
論文出版年: | 2024 |
畢業學年度: | 112 |
語文別: | 英文 |
論文頁數: | 62 |
外文關鍵詞: | Balanced mutual funds, COVID-19 pandemic, Thai financial market, Treynor-Mazuy model, Stock selection, Market timing, Fund managers' expertise |
相關次數: | 點閱:197 下載:4 |
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The COVID-19 pandemic has significantly impacted the Thai financial market, causing volatility and raising concerns among investors about returns falling short of expectations. To mitigate risks, investors diversify their portfolios through funds and evaluate fund managers' expertise. This study proposes an alternative approach to measuring the effectiveness of fund managers in Thailand. By selecting 69 balanced mutual funds, collecting historical data, and using the Stock Exchange of Thailand total return price index and returns on 5-year Thailand government bonds, the study uses the Treynor-Mazuy (1966) model to gauge overall performance and assess fund managers' stock selection and market timing abilities. The analysis is further segmented into two periods: before COVID-19 and during COVID-19. The study indicates that, at the 5% significance level, 6 funds demonstrate evidence of stock selection, while 20 funds exhibit market timing, excluding the COVID-19 event. However, these funds do not simultaneously exhibit both pieces of evidence. Pre-COVID-19, the study discloses that 11 funds and 55 funds manifested evidence of stock selection and market timing, respectively. However, during the COVID-19 period, only 7 funds and 11 funds exhibited evidence of stock selection and market timing, suggesting a noticeable impact on fund managers' abilities in these aspects due to the pandemic. The study reveals significant disparities in results across different time periods, highlighting the significant impact of the COVID-19 pandemic on the performance of balanced mutual funds in Thailand. The results align with previous studies by Madeline and Rizkianto (2021) in terms of market timing but conflict with the results of Ariswati, Iskandar, and Azis (2021). Notably, there is an improvement in the ability to select stocks post-COVID-19, contradicting both Madeline and Rizkianto (2021) and Ariswati, Iskandar, and Azis (2021).
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