IDEAS home Printed from https://ideas.repec.org/a/spt/apfiba/v9y2019i5f9_5_7.html
   My bibliography  Save this article

The analysis of market timing, exchange rate of us dollar, and inflation to equity fund performance during 2011-2017

Author

Listed:
  • Nathalia Angelina Lucas
  • Jenry Cardo Manurung
  • Adler Haymans Manurung
  • Bahtiar Usman

Abstract

The objective of this paper is to explore return of equity fund, impact of market timing, inflation and Exchange rate of US Dollar. Henrikson and Merton as well as Treynor and Mazuy method is used to see return of equity fund, impact of market timing, inflation and Exchange rate of US Dollar. Inflation and exchange rate of US Dollar is added to Henrikson and Merton Model as well as Treynor and Mazuy Model.  The result are equity fund return are affected by market return, market timing abiliy of investment manager are not significantly exist in equity fund. Inflation and exchange rate of US Dollar  affect equity fund return so investor need to pay attention to both variable when investing in equity fund.  JEL classification numbers: G20

Suggested Citation

  • Nathalia Angelina Lucas & Jenry Cardo Manurung & Adler Haymans Manurung & Bahtiar Usman, 2019. "The analysis of market timing, exchange rate of us dollar, and inflation to equity fund performance during 2011-2017," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(5), pages 1-7.
    • Handle: RePEc:spt:apfiba:v:9:y:2019:i:5:f:9_5_7
    as

    Download full text from publisher

    File URL: http://www.scienpress.com/Upload/JAFB%2fVol%209_5_7.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Martin Feldstein, 1983. "Inflation, Tax Rules, and the Stock Market," NBER Chapters, in: Inflation, Tax Rules, and Capital Formation, pages 199-220, National Bureau of Economic Research, Inc.
    2. Issam Abdalla & Victor Murinde, 1997. "Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 25-35.
    3. Martin Feldstein, 1983. "Inflation and the Stock Market," NBER Chapters, in: Inflation, Tax Rules, and Capital Formation, pages 186-198, National Bureau of Economic Research, Inc.
    4. Teresa L. Conover, 1997. "A Comparative Analysis of the Market Model and the Multiple‐Factor Market Model," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(5), pages 657-666, June.
    5. Grant, Dwight, 1978. "Market Timing and Portfolio Management," Journal of Finance, American Finance Association, vol. 33(4), pages 1119-1131, September.
    6. Joshua M. Pollet & Mungo Wilson, 2008. "How Does Size Affect Mutual Fund Behavior?," Journal of Finance, American Finance Association, vol. 63(6), pages 2941-2969, December.
    7. Teresa L. Conover, 1997. "A Comparative Analysis of the Market Model and the Multiple-Factor Market Model," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(5), pages 657-666.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nurul Wahyuni Wulandari & Zaenal Arifin, 2021. "Performance of Equity Mutual Fund in Indonesia: The Effect of Mutual Fund and Macroeconomic Factors," International Journal of Research and Scientific Innovation, International Journal of Research and Scientific Innovation (IJRSI), vol. 8(2), pages 105-111, February.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bae, Jinho & Nelson, Charles R., 2007. "Earnings growth and the bull market of the 1990s: Is there a case for rational exuberance?," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 690-707, December.
    2. Bampinas, Georgios & Panagiotidis, Theodore, 2016. "Hedging inflation with individual US stocks: A long-run portfolio analysis," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 374-392.
    3. Lawrence H. Summers, 1981. "Inflation and the Valuation of Corporate Equities," NBER Working Papers 0824, National Bureau of Economic Research, Inc.
    4. Huffman, Stephen P. & Makar, Stephen D. & Beyer, Scott B., 2010. "A three-factor model investigation of foreign exchange-rate exposure," Global Finance Journal, Elsevier, vol. 21(1), pages 1-12.
    5. Feldstein, Martin & Dicks-Mireaux, Louis & Poterba, James, 1983. "The effective tax rate and the pretax rate of return," Journal of Public Economics, Elsevier, vol. 21(2), pages 129-158, July.
    6. Hunjra, Ahmed Imran & Chani, Muhammad Irfan & Ijaz, Muhammad Shahzad & Farooq, Muhammad & Khan, Kamran, 2014. "The Impact of Macroeconomic Variables on Stock Prices in Pakistan," MPRA Paper 60791, University Library of Munich, Germany.
    7. Pindyck, Robert S, 1984. "Risk, Inflation, and the Stock Market," American Economic Review, American Economic Association, vol. 74(3), pages 335-351, June.
    8. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.
    9. Madsen, Jakob B., 2002. "The share market boom and the recent disinflation in the OECD countries: the tax-effects, the inflation-illusion and the risk-aversion hypotheses reconsidered1," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(1), pages 115-141.
    10. Patrick Honohan, 1994. "The Fiscal Approach to Financial Intermediation Policy," Papers WP049, Economic and Social Research Institute (ESRI).
    11. Saira Tufail & Sadia Batool, 2013. "An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 18(2), pages 1-35, July-Dec.
    12. Thomas, Ashok & Spataro, Luca & Mathew, Nanditha, 2014. "Pension funds and stock market volatility: An empirical analysis of OECD countries," Journal of Financial Stability, Elsevier, vol. 11(C), pages 92-103.
    13. repec:ipg:wpaper:2014-108 is not listed on IDEAS
    14. Harjoat S. Bhamra & Christian Dorion & Alexandre Jeanneret & Michael Weber, 2018. "Low Inflation: High Default Risk AND High Equity Valuations," NBER Working Papers 25317, National Bureau of Economic Research, Inc.
    15. Patric H. Hendershott & Roger D. Huang, 1985. "Debt and Equity Yields, 1926-1980," NBER Chapters, in: Corporate Capital Structures in the United States, pages 117-166, National Bureau of Economic Research, Inc.
    16. Lastrapes, W. D., 1998. "International evidence on equity prices, interest rates and money," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 377-406, June.
    17. Peter Blair Henry, 2002. "Is Disinflation Good for the Stock Market?," Journal of Finance, American Finance Association, vol. 57(4), pages 1617-1648, August.
    18. Gwangheon Hong & Bong Lee, 2013. "Does Inflation Illusion Explain the Relation between REITs and Inflation?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 123-151, July.
    19. Steven A. Sharpe, 1999. "Stock prices, expected returns, and inflation," Finance and Economics Discussion Series 1999-02, Board of Governors of the Federal Reserve System (U.S.).
    20. Paul Alagidede & Theodore Panagiotidis, 2010. "Can common stocks provide a hedge against inflation? Evidence from African countries," Review of Financial Economics, John Wiley & Sons, vol. 19(3), pages 91-100, August.
    21. Martin Feldstein, 1983. "Should Private Pensions Be Indexed?," NBER Chapters, in: Financial Aspects of the United States Pension System, pages 211-230, National Bureau of Economic Research, Inc.

    More about this item

    Keywords

    market timing; equity fund; return; Inflation; Exchange Rate;
    All these keywords.

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spt:apfiba:v:9:y:2019:i:5:f:9_5_7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.scienpress.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.