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Style Volatility of Mutual Funds

Thesis Info

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Author

Maroof, Lubna

Program

PhD

Institute

National University of Sciences & Technology

City

Islamabad

Province

Islamabad

Country

Pakistan

Thesis Completing Year

2019

Thesis Completion Status

Completed

Subject

Economics

Language

English

Link

http://prr.hec.gov.pk/jspui/bitstream/123456789/10488/1/Lubna%20Maroof_Bus%20Admin_2019_NUST_PRR.pdf

Added

2021-02-17 19:49:13

Modified

2024-03-24 20:25:49

ARI ID

1676725058242

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Over past few decades, the mutual fund industry has grabbed attention of researchers. However, mutual funds in emerging markets including Pakistan has not undergone rapid pace due to number of constraints. Therefore, the models/ theories applied to developed markets cannot be applied to emerging markets. Hence, the present study tries to reveal new dimensions by investigate the timing abilities of fund manager. This study investigates whether fund managers are actively managing the funds or just adding additional costs to the investors in case of Pakistan. To be more specific, three questions are addressed in this study in three different essays for the period December 2009 to February 2016. The empirical findings of first essay suggest the existence of market timing and volatility timing abilities at an aggregate level. However, stock-timing ability is absent at an aggregate level. The results indicate a weak connection between timing abilities and fund attributes. The second essay provides an insight about variation in performance and timing abilities during bull and bear market conditions using Exponentional Generalized Autoregressive Conditional Heteroscedastic (EGARCH). This is the first study to estimate the timing abilities by using EGARCH specification. The empirical findings confirm that mutual funds perform better during bull market conditions than bear market conditions. As far as timing abilities are concerned, this study provides evidence in favor of market timing and volatility timing abilities during bear market conditions and stock-timing ability for bull market conditions. However, these results remain insignificant for style timing abilities under both market conditions. The robustness test using OLS also support these findings. The third essay explores the persistence phenomenon in timing abilities of fund managers. The closing value of PSX 100 index is used as median to divide sample period into two sub-periods. The empirical findings fail to find any evidence of persistence with regard to performance, selectivity skill, market timing skill and volatility timing skill under single-index, three-index and four-index model. These findings offer certain policy implications for various stakeholders, including management, regulators and investors. For investors, as mutual fund possess timing skills so they can be better pay off by investing in mutual funds and they should consider mutual fund industry as a new investment avenue for their future investments. These results also help the regulators to set a minimum legal framework for mutual funds to continue their operations in the said industry. Managers can reduce risks by utilizing information in advance and develop those skills that can help them to analyse market conditions, coping with new trends and challenges in industry and implementing and devising strategies to follow government regulations.
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ٓآصف علی

آصف علی
افسوس ہے پچھلے چند گھنٹوں کے فصل سے ہندوستان کی عموماًاوردہلی کی خصوصاً دونامور ہستیوں نے اس دنیا کوخیرآباد کہا۔آصف علی مرحوم نے وطن سے بہت دور دیارغیر میں جان جان آفریں کوسپرد کی لیکن وطن کی خاک نے یہ کشش دکھائی کہ ان کی نعش ہوائی جہاز کے ذریعہ سوئٹزرلینڈ سے دہلی پہنچی اورشفیق الرحمن صاحب قدوائی اوروہ دونوں یہیں دفن ہوئے۔ سیاسی مسلک کے علاوہ دلّی کی خاص وضع داری اورشرافت، خوش اخلاقی اوروسعت ظرف وعالی حوصلگی کے اعتبار سے دونوں میں بہت کچھ مشابہت ومماثلت تھی تاہم ہر ایک کی چند خصوصیات تھیں جن کے باعث دونوں اپنا اپنا الگ مقام رکھتے تھے۔آصف صاحب نہایت ذہین انگریزی اور اردو دونوں زبانوں کے خوش بیان مقرر اور ادیب تھے اوراردو زبان کے خوش گوشاعر بھی تھے، چنانچہ انجمن ترقی اردو ہند کے سہ ماہی رسالہ’ اردو‘کے ابتدائی دور میں ان کی بعض نظمیں شایع ہوئی تھیں۔ اردو طرز تحریر میں ان پر ٹیگوریت غالب تھی جس کاثبوت ان کی کتاب’ پرچھائیں‘ سے ملتاہے ۔تحریک آزادی کے زمانہ میں ان کاشمار صف اوّل کے کانگریسیوں میں رہا۔ آزادی حاصل ہونے کے بعد وہ امریکہ میں ہندوستان کے سفیر رہے پھر اڑیسہ کے گورنر بنادیے گئے اوراب آخر میں سوئٹزرلینڈمیں اپنے ملک کی سفارت کی خدمات انجام دے رہے تھے کہ اسی عہدہ پرداعی اجل کولبیک کہا ـع
حق مغفرت کرے عجب آزاد مرد تھا
[مئی۱۹۵۳ء]

 

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