MODEL PENGUKURAN KINERJA REKSA DANA SAHAM DI INDONE

Abstract

This research is to investigate factors measuring stock’s mutual fund performance with Internal and external factors. Internal factors are measured by cost ratio and net fund flow whereas external factors are measured by composite stock market index and interest rate. Base on the panel data, this research used panel vector autoregression (PVAR) and panel vector error correction model (PVECM) to measure the mutual fund performance and test the research hypothesis. This research found that internal and external factors are cointegrated to the mutual fund performance and they could predict well the performance. Internal factors including past return and cost ratio are the dominant factors affecting the mutual fund performance. Shocks from external factors are responded longer time by the stock’s based mutual fund than the shocks came from the internal factors. The investment managers tend to respon the shocks significantly after the longer periods. This research also supports some findings from previous researches.