THE INFLUENCE OF MARKET TIMING AND STOCK SELECTION ON THE PERFORMANCE OF EQUITY MUTUAL FUNDS IN INDONESIA FOR THE PERIOD 2018-2023

Abstract This research aims to assess the capabilities of market timing and stock selection in the context of the performance of equity mutual funds, with a focus on return risk factors such as inflation and exchange rate. The Treynor-Mazuy Model is adopted as the main analytical framework, allowing researchers to consider the impact of these risk factors on the variables of market timing and stock selection in the performance of equity mutual funds. This research will gather secondary data from mutual fund firms in Indonesia, specifically focusing on the period from 2018 to 2023. The data is assessed via the use of multiple regression analysis utilizing the Eviews software. The aim of this study is to thoroughly examine the efficacy of market timing and stock selection, as well as the impact of return risk factors on the performance of stocks mutual funds throughout the chosen research period. The results of this research suggest that properly predicting the best time to buy or sell stocks does not significantly affect the performance of stock mutual funds. However, the careful selection of certain stocks does really have a substantial influence on their total success. The performance of stock mutual funds is greatly impacted by the market timing skills, especially when inflation acts as a moderator. Accurate prediction of market timing significantly affects the performance of stock mutual funds, especially when the exchange rate acts as a moderator. However, the capacity to choose individual stocks does not have a substantial impact on the performance of stock mutual funds when inflation is considered as a moderator. Nevertheless, the capacity to choose stocks has a substantial effect on the performance of mutual funds when the exchange rate functions as a moderator.