Liquidity Timing Ability of Fund Managers under Changing Market Dynamics

Abstract

We examine the liquidity timing ability of Turkish variable fund managers during 2011-2018, and how this ability is affected by the environmental factors such as the technological advancement level, the presence of derivatives market, the growth in the overall economy, the level of market openness, and the performance of portfolios for bond, gold, real estate, foreign exchange, emerging markets. We use interaction variables within a panel data framework. We find strong evidence of the liquidity timing ability of mutual fund managers even after controlling for environmental factors. The nature of the interactions for most of the control factors with liquidity timing ability is strongly significant and differs based on the factor.