Mutual fund managers’ market timing abilities: Indian evidence

Abstract

In this paper, apart from traditional return timing, we examine the timing abilities of Indian mutual fund managers from two new perspectives, i.e., liquidity timing and volatility timing. Using a sample of 183 equity-oriented funds from April 2000 to March 2018, we find evidence of liquidity timing ability among fund managers at both portfolio and individual level. Our result is robust to different liquidity measure, sub-period test, excluding the crisis period and at the individual fund level analysis. No strong evidence is observed regarding market return timing and volatility timing of fund managers.