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Article
Publication date: 29 January 2020

Abul Hassan, Abdelkader Chachi and Mahfuzur Rahman Munshi

The purpose of this study is to update the investment literature by providing latest evidence of performance of Islamic mutual funds by using global sample mutual funds data to…

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Abstract

Purpose

The purpose of this study is to update the investment literature by providing latest evidence of performance of Islamic mutual funds by using global sample mutual funds data to support with empirical facts.

Design/methodology/approach

This study analyzes the comparative performance of Islamic and conventional mutual funds by using capital asset pricing model, Fama & French’s three-factor model and Carhart’s four-factor model. Further, the study tested the coskenwness effect by using data envelopment analysis approach.

Findings

The authors find evidence that when size of the funds is controlled, Islamic investment underperform the conventional mutual funds in four out of six models. The size of underperformance varies from model to model: from 32 basis points in the Carhart’s four-factor model with the skewness factor to two basis points at the Fama and French’s three-factor model. Also the study finds that alpha(s) are only insignificant for conventional mutual funds when the skewness factor is included in the regression. While comparing the loading on Islamic mutual funds, results show that Islamic mutual funds are less risky than conventional mutual funds when they are controlled for skewness.

Originality/value

This study uses the different factor models of performance evolution which help in overcoming weakness of measuring the Islamic mutual funds’ performance.

Details

Journal of Islamic Accounting and Business Research, vol. 11 no. 8
Type: Research Article
ISSN: 1759-0817

Keywords

Available. Open Access. Open Access
Article
Publication date: 20 May 2022

Beebee Salma Sairally

334

Abstract

Details

ISRA International Journal of Islamic Finance, vol. 14 no. 1
Type: Research Article
ISSN: 0128-1976

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