TY - JOUR
T1 - The impact of financial and economic factors on Islamic mutual fund performance
T2 - Evidence from multiple fund categories
AU - Uddin, Gazi Salah
AU - Arreola Hernandez, Jose
AU - Labidi, Chiraz
AU - Troster, Victor
AU - Yoon, Seong Min
N1 - Publisher Copyright:
© 2019 Elsevier B.V.
PY - 2019/12
Y1 - 2019/12
N2 - We examine the influence of financial, economic, and seasonal factors on the performance of international equity, fixed income, cash, and balanced Islamic mutual funds. We analyze monthly mutual fund return observations on 106 funds over 1997-2019 to investigate exposure to global developed Fama and French (1993, 2015) factors for equity and balanced funds, the three factors of Huij and Derwall (2008) for cash and bond funds, and monthly seasonal effects. Seasonal effects are insignificant in balanced, equity, and cash funds. The Fama and French factors significantly affect the performance of equity and balanced funds, whereas the three factors of Huij and Derwall are important in explaining the performance of cash and fixed income funds for almost over the whole year. Our findings suggest that investors should not be concerned about a potential seasonal effect due to the Ramadan period.
AB - We examine the influence of financial, economic, and seasonal factors on the performance of international equity, fixed income, cash, and balanced Islamic mutual funds. We analyze monthly mutual fund return observations on 106 funds over 1997-2019 to investigate exposure to global developed Fama and French (1993, 2015) factors for equity and balanced funds, the three factors of Huij and Derwall (2008) for cash and bond funds, and monthly seasonal effects. Seasonal effects are insignificant in balanced, equity, and cash funds. The Fama and French factors significantly affect the performance of equity and balanced funds, whereas the three factors of Huij and Derwall are important in explaining the performance of cash and fixed income funds for almost over the whole year. Our findings suggest that investors should not be concerned about a potential seasonal effect due to the Ramadan period.
KW - Islamic mutual funds
KW - Ramadan effect
KW - Seasonal effects
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U2 - 10.1016/j.mulfin.2019.100607
DO - 10.1016/j.mulfin.2019.100607
M3 - Article
AN - SCOPUS:85075866815
SN - 1042-444X
VL - 52-53
JO - Journal of Multinational Financial Management
JF - Journal of Multinational Financial Management
M1 - 100607
ER -