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

Gazi Salah Uddin (1) , Jose Arreola Hernandez (2) , Chiraz Labidi (3) , Victor Troster (4) , Seong-Min Yoon (5)

1 LIU - Linköping University
2 ESC [Rennes] - ESC Rennes School of Business
3 UAEU - United Arab Emirates University
4 UIB - Universitat de les Illes Balears = Universidad de las Islas Baleares = University of the Balearic Islands
5 PNU - Pusan National University

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.

Mots clés: Islamic mutual funds; Seasonal effects; Ramadan effect

Domaines: Finance [q-fin.GN]

Gazi Salah Uddin, Jose Arreola Hernandez, Chiraz Labidi, Victor Troster, Seong-Min Yoon. The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories. Journal of Multinational Financial Management, 2019, 52-53, pp.100607. ⟨10.1016/j.mulfin.2019.100607⟩. ⟨hal-02468303⟩