A comparative study on domestic and foreign equity funds in Indonesia

I Gst Ngr Putu Adi Suartawan; Luh Gede Sri Artini

doi:10.21744/irjmis.v6n4.642

Authors

I Gst Ngr Putu Adi Suartawan
adiign8@gmail.com
Faculty of Economics and Business, Udayana University, Denpasar, Indonesia
Luh Gede Sri Artini Faculty of Economics and Business, Udayana University, Denpasar, Indonesia

Keywords:

equity funds, market timing, performance, stock selection, treynor index

Abstract

The aim of this study is to analyze and compare the performance between domestic and foreign equity funds in Indonesia seen from the Treynor index, market timing, and stock selection ability. The population of this study is all equity funds registered in OJK (Financial Services Authority) in Indonesia, with a sample of 38 domestic equity funds and 25 foreign equity funds during the 2016-2018 period. The samples were collected by using a nonprobability sampling method with a purposive sampling technique. Data were analyzed using the Mann-Whitney U test. The results of this study show that the performance of foreign equity funds is better than the domestic equity funds seen from the Treynor index. The market timing ability of foreign equity funds is better than domestic equity funds. The stock selection ability of domestic equity funds is better than foreign equity funds. The practical implication of this study for investors and capital market players is to provide empirical evidence that there is a significant difference between the domestic and foreign equity funds performance in Indonesia, that can be considered in investment strategies. For investment companies that manage equity funds can be a reference to performance improvement, especially for negative performance.

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