The Moderating Role Of Investor Attrition On Investor Heterogeneity And Fund Performance Towards Fund Flow On Indonesian Equity Mutual

Aristio, Shan and Sembel, Roy and Malau, Melinda (2021) The Moderating Role Of Investor Attrition On Investor Heterogeneity And Fund Performance Towards Fund Flow On Indonesian Equity Mutual. South East Asia Journal of Contemporary Business, Economics and Law, 25 (1). pp. 7-16. ISSN 2289 1560

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Abstract

This study is analyzing the moderating impact of investor attrition on the effect of both investor heterogeneity and fund performance towards fund flow in the Indonesian equity mutual fund industry, to fill the research gap on fund flow determinants resulting from the limited fund flow research from other than fund performance perspectives. Samples being used in this research are all IDR denominated (offshore/ global sharia fund are excluded) active equity funds (index and ETF are excluded) being available in Indonesia under a monthly cut-off basis throughout January 2015 until May 2021, free of survivorship bias. This research documented several anomalies that unlike most of the research results conducted in the US market where most of the mutual fund research came from; both investor heterogeneity and fund performance did not found to have a significant effect on fund flow. On the other hand, even though this research did not find a significant effect that attrition could weaken the fund performance’s effect on fund flow, this research documented a cross-interaction that attrition is strengthening the investor heterogeneity effect on fund flow. In other words, this research documented that investor attrition is reversing the previous insignificant effect on investor heterogeneity on fund flow if attrition occurs at a certain rate. Key words: Attrition, fund flow, investor heterogeneity, fund performance, mutual fund.

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