Islamic or conventional mutual funds: Who has the upper hand? Evidence from Malaysia

被引:37
作者
Boo, Yee Ling [1 ]
Ee, Mong Shan [2 ]
Li, Bob [2 ]
Rashid, Mamunur [3 ]
机构
[1] RMIT Univ, 445 Swanston St, Melbourne, Vic 3000, Australia
[2] Deakin Univ, Elgar Rd, Burwood, Vic 3125, Australia
[3] Univ Nottingham, Nottingham Univ, Business Sch, Ctr Islamic Business & Finance Res, Malaysia Campus,Jalan Broga, Selangor 43000, Darul Ehsan, Malaysia
关键词
Islamic mutual funds; Fund performance; Asset class; Value at risk; PERFORMANCE; INDEXES;
D O I
10.1016/j.pacfin.2016.01.004
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Contradictory results are documented in the literature regarding which type of mutual fund has superior performance; an Islamic or conventional mutual fund. Due to the relative short history of the Islamic mutual funds' industry, prior literature has inevitably relied on a small sample size with a short sample period. With the longest applicable sample period, this study represents one of the most recent attempts to address this conflicting evidence. We find there is no clear cut over performance by Islamic mutual funds against their conventional peers across the three financial crises in our sample period, with the exception of the most recent global financial crisis, where Islamic mutual funds generally outperformed their conventional counterparts. We further find that Islamic funds significantly outperformed conventional funds in the riskiest asset class, equity, one year before and during the global financial crisis. We further reveal that the modified value at risk for Islamic mutual funds was significantly lower than their conventional peers during the global financial crisis. This seems to indicate that Islamic mutual funds have better risk management compared to conventional peers. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码:183 / 192
页数:10
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