Liquidity Timing in the Higher Moment Framework: Evidence from Bank Affiliated Fund

47 Pages Posted: 2 Feb 2016 Last revised: 26 Jun 2016

See all articles by Woraphon Wattanatorn

Woraphon Wattanatorn

Mahidol University International College (MUIC); Silpakorn University

Chaiyuth Padungsaksawasdi

Thammasat Business School

Sarayut Nathaphan

Mahidol University International College (MUIC)

Pornchai Chunhachinda

Thammasat University

Multiple version iconThere are 2 versions of this paper

Date Written: June 25, 2016

Abstract

In this paper, we provide the first evidence of liquidity timing ability of mutual funds outside US. We propose a new model to study liquidity timing ability of mutual funds. The model matches the higher moment framework required for emerging market study. We find that on the average the mutual funds in Thailand have liquidity timing ability. At portfolio level, the results show that low performance and high performance funds clearly have inverse liquidity timing ability. The low performance funds have negative liquidity timing ability, whereas the higher performance funds exhibit positive liquidity timing ability. Our results of liquidity timing hold in higher moment framework. We further analyze the effect of bank-mutual funds relationship and find that the bank-related mutual funds have positive liquidity timing ability of mutual funds while we find no evidence of this liquidity timing for non-bank related mutual funds.

Keywords: liquidity timing, mutual fund performance, timing ability, bank-related mutual fund, higher moment liquidity timing

JEL Classification: G11, G12, G21, G23

Suggested Citation

Wattanatorn, Woraphon and Padungsaksawasdi, Chaiyuth and Nathaphan, Sarayut and Chunhachinda, Pornchai, Liquidity Timing in the Higher Moment Framework: Evidence from Bank Affiliated Fund (June 25, 2016). Asian Finance Association (AsianFA) 2016 Conference. Available at SSRN: https://ssrn.com/abstract=2725745 or http://dx.doi.org/10.2139/ssrn.2725745

Woraphon Wattanatorn (Contact Author)

Mahidol University International College (MUIC) ( email )

999 Buddhamonthon 4 Road
Salaya, Nakhonpathom, 73170
Thailand

Silpakorn University ( email )

1 Moo 3 Sampraya
Cha-am, Petchaburi 76120
Thailand

Chaiyuth Padungsaksawasdi

Thammasat Business School ( email )

2 Prachan Road
Pranakorn
Bangkok, Bangkok 10200
Thailand

Sarayut Nathaphan

Mahidol University International College (MUIC) ( email )

999 Buddhamonthon 4 Road
Salaya, Nakhonpathom, 73170
Thailand

Pornchai Chunhachinda

Thammasat University ( email )

Bangkok, 10200
Thailand

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