Egyptian Fund managers” abilities:Evidence on market timing and selectivity pre and post January 25th revlution
Elmosallamy, D. (2015). Egyptian Fund managers” abilities:Evidence on market timing and selectivity pre and post January 25th revlution. EKB Journal Management System, 45(3), 7-29. doi: 10.21608/jsec.2015.163952
Dalia Elmosallamy. "Egyptian Fund managers” abilities:Evidence on market timing and selectivity pre and post January 25th revlution". EKB Journal Management System, 45, 3, 2015, 7-29. doi: 10.21608/jsec.2015.163952
Elmosallamy, D. (2015). 'Egyptian Fund managers” abilities:Evidence on market timing and selectivity pre and post January 25th revlution', EKB Journal Management System, 45(3), pp. 7-29. doi: 10.21608/jsec.2015.163952
Elmosallamy, D. Egyptian Fund managers” abilities:Evidence on market timing and selectivity pre and post January 25th revlution. EKB Journal Management System, 2015; 45(3): 7-29. doi: 10.21608/jsec.2015.163952

Egyptian Fund managers” abilities:Evidence on market timing and selectivity pre and post January 25th revlution

المجلة العلمية للإقتصاد و التجارة
Article 15, Volume 45, Issue 3, October 2015, Page 7-29  XML PDF (1.23 MB)
Document Type: المقالة الأصلية
DOI: 10.21608/jsec.2015.163952
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Author
Dalia Elmosallamy
Lecturer of Finance The British University in Egypt
Abstract
Following the January 2011 revolution, Egypt has undergone through political and economical transition including lots of protests, riots, strikes, and others which had their impact on employment, income and investment decisions either in real assets or in financial assets. In this paper, the weekly returns of a sample of open ended funds representing all the Egyptian conventional funds, denominated in local currency in existence from January 2008 to January 2014, are used to examine the market timing and security selection abilities of Egyptian fund managers. The main fundamental question this study attempts to answer is; do mutual funds in Egypt possess market timing and/or security selection abilities, what about their performance during times of economic or political instability? Three models are employed: Treynor and Mazuy (1966) model, Henrikson Merton (1981) model and Henrikson Merton model with an autoregressive term to control for the auto correlation of returns. The sample period is divided into two periods from January 8th, 2008 to January 6th, 2011 (pre-revolution) and from January 13th, 2011 to January 9th, 2014 (post revolution). The study documents evidence of security selection abilities for Egyptian Funds only in the overall and the post revolution period, but no market timing abilities neither in the pre, post nor the entire sample period.  The main implication is that Egyptian mutual funds could be an attractive investment vehicle, especially in periods of shocks and economic downturns. None of the fund managers in the Egyptian market were able to successfully time the market in the right direction but some funds were successful in reaping returns in excess of the market based on their selection abilities.
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