Market return, Volatility and Liquidity Timing Abilities: Evidence from Thailand
32 leaves: tables
This paper study about market return, volatility and liquidity timing abilities of Thai equity fund during 2005 – 2016. Overall, Thai equity fund managers show only market return timing ability. This result is different from the findings in the US that fund managers have both volatility and liquidity timing abilities. In the Eastern Europe, fund managers have return and liquidity timing abilities. One possible reason that Thai fund managers have different market timing ability is that Thai stock market is order-driven market while the US stock market and Eastern Europe stock markets are quote-driven markets. Therefore, Thai fund managers may be harder to sell and buy stocks. Compare to the previous studies in Thailand, this study consistent with market timing study that Thai fund managers do not have volatility timing.
However, this study is inconsistent with previous study that Thai fund managers have liquidity timing ability in a higher moment framework. For the impact of investment styles, different styles show different market timing abilities. The results show that Large-cap fund managers have only return timing ability, Mid-cap fund managers have return and liquidity timing abilities and Small-cap fund managers do not have any timing ability. This result is inconsistent with the previous study in the US that small-cap funds tend to have strongly market timing ability. For the impact of bull and bear markets, this study finds that fund managers can time market return and market liquidity in bear market better than in bull market. While, they can time market volatility in bull market better than in bear market.