A Comparative Performance of Conventional and Islamic Unit Trusts: Market Timing and Persistence Evidence

Alam, Nafis; Tang, Kin Boon; Rajjaque, Mohammad Shadique

doi:10.1007/978-3-319-30918-7_7

Cited by 6 publications

(13 citation statements)

References 30 publications

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“…Persistence is calculated for two types of time periods, namely, semiannual and annual. This method is in line with the propositions in Alam et al (2013). Specifically, these authors analyze the persistence of Islamic and conventional mutual funds by exploring the relationship between the performances estimated in two consecutive periods.…”

Section: Persistencesupporting

confidence: 50%

“…Moreover, in line with Alam et al (2013), when estimating performance for a non-overlapping rolling window, we also allow the model parameters to be time-varying.…”

mentioning

confidence: 99%

“…Nevertheless, Abdelsalam et al (2014b) find that depending on the quantile of the conditional distribution of the performance considered, SRI and Islamic funds are in the upper quantiles. Alam et al (2013) analyzes the performance and resistance of Islamic and conventional unit trusts and finds that selectivity and market timing are mostly similar for both types of funds, however Islamic funds have shown better resistance to market downturn than their conventional counterparts. Nevertheless, the literature that focuses explicitly on the persistence of Islamic mutual funds is almost nonexistent (Alam et al 2013;Abdelsalam et al 2014a).…”

Section: Introductionmentioning

confidence: 99%

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Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds

et al. 2015

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Citation for published item:edelslmD yF nd huygunD wF nd wtll¡ %nD tF gF nd ortosEeusinD iF @PHIUA 9ss ethil money sensitive to pst returnsc he se of portfolio onstrints nd persistene in sslmi fundsF9D tournl of (nnil servies reserhFD SI @QAF ppF QTQEQVRF Further information on publisher's website:The nal publication is available at Springer via https://doi.org/10.1007/s10693-015-0234-x Additional information: Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-prot purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details.

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Section: Persistencesupporting

confidence: 50%

“…Moreover, in line with Alam et al (2013), when estimating performance for a non-overlapping rolling window, we also allow the model parameters to be time-varying.…”

mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds

et al. 2015

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“…One major risk for unit trusts is the volatility of market activities, which affects the value of securities and bonds (Abdullah et al, 2007;Alam et al 2016;Saad et al, 2010). However, Islamic unit trusts exhibited a smaller systematic risk and showed less variability, leading them to be considered less risky than other portfolios (Alam et al 2016). Moreover, Shariah compliant companies tend to have a low bankruptcy risk because of the low financial leverage required (Lewis, 2010).…”

Section: The Unit Trust Industry and Challenges For Islamic Unit Trustsmentioning

confidence: 99%

“…There is conflicting evidence relating to the risk-return performance of unit trust funds in the literature (Alam et al 2016). Researchers found that Islamic unit trusts performed better than their conventional counterparts (Saad et al, 2010) while some statistical findings suggest that the financial performance of Islamic unit trust funds does not differ substantially from that of other conventional funds (Elfakhani et al, 2007).…”

Section: The Unit Trust Industry and Challenges For Islamic Unit Trustsmentioning

confidence: 99%

Towards Developing a Conceptual Framework for Islamic Unit Trust Funds

Aziz¹,

Hassan²,

Zain³

et al. 2019

IJMAR

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There is increasing interest among investors in one of the latest investment vehicles - unit trusts. Unit trusts have several advantages as investments in comparison to other investment vehicles, as they are managed by fund managers and tied down by a trust deed. These advantages can be traced back to the investment diversification, professional management of the unit trust and the liquidity flow that can be obtained through sale and purchase of the unit trust. This paper presents an argument towards the development of the conceptual framework for Islamic unit trust funds, explored using references to the regulations in Malaysia, reviewing the types of unit trust funds, their distinctive features, Shariah principles that operate in the management of unit trust industry in Malaysia and the contributions that can be generated from unit trust fund to society. Some of the essential features of Islamic unit trust funds depend on the prohibition of riba, gharar and maysir, strict stock screening processes and purification processes. The main challenges to the unit trust industry are also discussed.

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Comovements and hedging effectiveness between conventional and Islamic cryptocurrencies: evidence from the COVID-19 pandemic

Ali

Yousaf

2023

IJOEM

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PurposeThis study examines the dynamics of the comovement and causal relationship between conventional (Bitcoin, Ethereum and Binance coin) and Islamic (OneGram, X8X token and HelloGold) cryptocurrencies.Design/methodology/approachThis study uses wavelet coherence approach to examine the time-varying lead-lag relationship between conventional and Islamic cryptocurrencies. Furthermore, the authors use BEKK-GARCH model to estimate the optimal weights, hedge ratio and hedging effectiveness in pre-COVID-19 and during the COVID-19 period.FindingsThe authors find no significant comovement in pre-COVID-19. However, the authors find significant positive comovement in conventional and Islamic cryptocurrencies at the beginning of the pandemic, and in most cases, conventional cryptocurrencies are leading. X8X and HelloGold have no/weak correlation with conventional cryptocurrencies, implying that investors can diversify the risk by making an Islamic and conventional cryptocurrencies portfolio. The authors also calculate the optimal weights, hedge ratio and hedging effectiveness using the BEKK-GARCH model. Based on the optimal weights, for the portfolios of conventional–Islamic cryptocurrencies, investors are suggested to increase their investment in Islamic cryptocurrencies during the COVID-19 than normal period. The results of hedge ratios show that hedging costs are higher during COVID-19 than before.Practical implicationsThe findings of the paper offer several practical policy implications for investors, portfolio manager, Shariah advisors and policymakers pertaining to asset allocation, risk management, forecasting and diversification. Specifically, investors can maximize the risk adjusted returns of their conventional cryptocurrencies portfolio by adding some portions of Islamic cryptocurrencies. Considering the comovement is time-varying, investors/manager should adjust their investment strategies frequently. For the entrepreneurs in crypto-industry, it is advised to introduce new Islamic cryptocurrencies, as it has a huge growth potential because of their distinct features and performance.Originality/valueThis is the first study that explores the linkages between conventional and Islamic cryptocurrencies, therefore this study extends the literature of Islamic finance, stablecoins and cryptocurrencies in pre-COVID-19 and during COVID-19 period. The study results provide insights to conventional crypto investor on how to manage their portfolio during normal and turbulent period.

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A Comparative Performance of Conventional and Islamic Unit Trusts: Market Timing and Persistence Evidence

Cited by 6 publications

References 30 publications

Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds

Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds

Towards Developing a Conceptual Framework for Islamic Unit Trust Funds

Comovements and hedging effectiveness between conventional and Islamic cryptocurrencies: evidence from the COVID-19 pandemic

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