An ability to forecast market liquidity – Evidence from South East Asia Mutual fund industry

In this study, a liquidity timing ability of mutual fund managers in emerging markets had been examined. The analysis based on three important emerging markets in ASEAN Economic Community, namely Indonesia, Malaysia, and Thailand. We found that these mutual fund managers have an ability to forecast the market wide liquidity at both aggregate level and portfolio level. Additional, the evidence suggested that the high ability fund managers can successfully manage the liquidity in all markets at portfolio level. Besides, a robustness test demonstrates a similar result.