The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories

Gazi Salah Uddin, Jose Arreola Hernandez, Chiraz Labidi, Victor Troster, Seong Min Yoon

    Research output: Contribution to journalArticlepeer-review

    5 Citations (Scopus)

    Abstract

    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.

    Original languageEnglish
    Article number100607
    JournalJournal of Multinational Financial Management
    Volume52-53
    DOIs
    Publication statusPublished - Dec 2019

    Keywords

    • Islamic mutual funds
    • Ramadan effect
    • Seasonal effects

    ASJC Scopus subject areas

    • Finance
    • Economics and Econometrics

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