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Measuring skill in the Islamic mutual fund industry: Evidence from GCC countries

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  • Hammami, Yacine
  • Oueslati, Abdelmonem

Abstract

We examine the performance of Islamic mutual funds in GCC countries using the Berk and Van Binsbergen (2015) value-added measure. We find compelling evidence that skilled managers exist in the Islamic mutual fund industry. The average mutual fund has used this skill to generate approximately $198,000 per month. The bootstrap methodology highlights that this performance is not obtained by chance. Finally, we document that in bad economic times, Islamic mutual funds have lower value-at-risk and higher Sharpe ratios than conventional benchmarks, supporting the claim that they are a means of hedging against international financial crises.

Suggested Citation

  • Hammami, Yacine & Oueslati, Abdelmonem, 2017. "Measuring skill in the Islamic mutual fund industry: Evidence from GCC countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 15-31.
  • Handle: RePEc:eee:intfin:v:49:y:2017:i:c:p:15-31
    DOI: 10.1016/j.intfin.2017.02.002
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