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

Author

Listed:
  • Gazi Salah Uddin

    (LIU - Linköping University)

  • Jose Arreola Hernandez

    (Rennes SB - Rennes School of Business)

  • Chiraz Labidi

    (UAEU - United Arab Emirates University)

  • Victor Troster

    (UIB - Universitat de les Illes Balears = Universidad de las Islas Baleares = University of the Balearic Islands)

  • Seong-Min Yoon

    (PNU - Pusan National University)

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.

Suggested Citation

  • Gazi Salah Uddin & Jose Arreola Hernandez & Chiraz Labidi & Victor Troster & Seong-Min Yoon, 2019. "The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories," Post-Print hal-02468303, HAL.
    • Handle: RePEc:hal:journl:hal-02468303
    DOI: 10.1016/j.mulfin.2019.100607
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    Cited by:

    1. Plastun, Alex & Bouri, Elie & Gupta, Rangan & Ji, Qiang, 2022. "Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    2. Paulo Leite, 2024. "Performance and investment styles of international multi-asset funds during market crises," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(3), pages 783-805, August.
    3. Chiraz Labidi & Jose Arreola Hernandez & Gazi Salah Uddin & Ali Ahmed & Muhammad Yahya & Seong‐Min Yoon, 2025. "Islamic mutual funds: Seasonal patterns and determinants of performance across regions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(3), pages 2786-2802, July.
    4. Rahman, Md Habibur, . "Financial Analysis Of Costco Wholesale Corporation: Exploring The Strengths And Weaknesses," Bangladesh Journal of Agricultural Economics, Bangladesh Agricultural University, vol. 41(01).
    5. Mirza, Nawazish & Abbas Rizvi, Syed Kumail & Saba, Irum & Naqvi, Bushra & Yarovaya, Larisa, 2022. "The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 276-295.
    6. Ghulam Nabi & Ramiz ur Rehman & Rizwan Ali & Atif Jadoon, 2024. "Persistence of multidimensional time‐varying skills of fund managers: A comparison of conventional and Islamic equity funds," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 45(2), pages 880-895, March.

    More about this item

    Keywords

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    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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