Predictability of Korean Mutual Fund Performance

Abstract

In this article, we examine the persistence in performance of Korean equity mutual funds between 1990 and 2020. South Korea is the country with the second largest number of mutual funds registered globally after the US; it has more funds domiciled than UK or Japan. The country is the world’s 12th-biggest economy, in the following five years; it is set to make the 10th-biggest contribution to global growth, more than France or Italy and approximately the same as the UK. Using a daily return sample, we show a strong existence of performance persistence in the Korean mutual fund market during the 30-year sample period included in our study. We find this result using a non-parametric methodology based on contingency tables checked by statistical tests, which show statistical significance at 1% level.

Keywords: Mutual Funds; Performance Persistence; South Korea; Contingency Tables

JEL Classification: G11, G12