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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 School of Business)

  • Chiraz Labidi

    (UAEU - United Arab Emirates University)

  • Victor Troster

    (UIB - University of the Balearic Islands)

  • Seong-Min Yoon

    (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
    Note: View the original document on HAL open archive server: https://hal-rennes-sb.archives-ouvertes.fr/hal-02468303
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    as
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    Cited by:

    1. Rahman, Md Habibur, 2020. "Financial Analysis Of Costco Wholesale Corporation: Exploring The Strengths And Weaknesses," Bangladesh Journal of Agricultural Economics, Bangladesh Agricultural University, vol. 41(1), July.

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    More about this item

    Keywords

    Islamic mutual funds; Seasonal effects; Ramadan effect;
    All these keywords.

    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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