Coskewness in Islamic, Socially Responsible and Conventional Mutual Funds: An Asset Pricing Test

Hassan, Abul; Hassan, M. Kabir; Rubio, Jose Francisco; Ozkan, Bora; Merdad, Hesham

doi:10.2139/ssrn.2944318

Cited by 5 publications

(5 citation statements)

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“…Based on a sample of Islamic equity funds in Saudi Arabia, BinMahfouz and Hassan (2012) find that Shariah-compliant screening does not cause Islamic mutual funds to underperform conventional funds and market benchmarks. A similar finding is documented when investment portfolios on global indices are examined (BinMahfouz and Hassan, 2013; Hassan et al , 2017). A recent study by Nainggolan et al (2016), however, finds that Islamic funds underperform their conventional counterpart based on a large global sample of Islamic equity funds.…”

Section: Literature Reviewsupporting

confidence: 78%

Relative performance of religious and ethical investment funds

Castro

Hassan

Rubio

et al. 2020

JIABR

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Purpose This paper updates the literature regarding the performance of constrained US mutual funds by looking at the relative performance of Christian mutual funds, socially responsible funds and Islamic funds. This paper aims to rank the performance of religious and ethical investment funds. Design/methodology/approach This study uses monthly returns from 2005 to 2015 to perform traditional asset pricing models as well as data envelopment analysis to determine rank. Findings Islamic mutual funds outperform socially responsible funds, which then outperform Christian-based mutual funds; these results are also consistent during the latest 2007-2008 crisis period. The results are robust to different performance metrics and benchmarks. Moreover, this paper reports a significant amount of money “left on the table” by investing in constraint funds and disregarding the sin industry which shows an ethical dilemma for investors. Practical implications Investors who seek to invest morally/ethically can be informed of the cost of doing so. They can also compare portfolio with others that have similar holdings and constraints. Originality/value This paper not only includes Christian mutual funds in the research but also provides the performance of all constrained assets. It also compares religious funds with “SIN” industry, and thus quantifies the cost of “doing right.”

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Section: Literature Reviewsupporting

confidence: 78%

Relative performance of religious and ethical investment funds

Castro

Hassan

Rubio

et al. 2020

JIABR

Self Cite

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“…of Islamic ones, but the best Islamic funds perform better than SRI (Abdelsalam et al, 2014b). Hassan, Francisco Rubio, Hassan, Ozkan, and Merdad (2017) found Islamic mutual funds perform better than SRI, which in turn outperform conventional counterparts.…”

mentioning

confidence: 91%

“…Moreover, Abdelsalam, Duyugun, Matallin, and Tortosa‐Ausina () provided weak evidence that the average efficiency of SRI mutual funds is slightly better than that of Islamic ones, but the best Islamic funds perform better than SRI (Abdelsalam et al, ). Hassan, Francisco Rubio, Hassan, Ozkan, and Merdad () found Islamic mutual funds perform better than SRI, which in turn outperform conventional counterparts.…”

Section: Introductionmentioning

confidence: 99%

Islamic, socially responsible, and conventional market comovements: Evidence from stock indices

Paltrinieri

Floreani

Kappen

et al. 2018

Thunderbird Intl Bus Rev

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This article extends the literature on ethical investment risks, correlations, and comovements. Through a sample of 17 Islamic, socially responsible investment (SRI), and conventional stock indices, we investigate cointegration and dynamic correlations for the period 2005–2015. We also examine these stock indices’ responses to two major economic factors, namely, oil prices and market volatility. Our results show cointegration between Islamic, SRI and conventional stock indices, and comovements with mutual causalities. During crises, dynamic correlations tend to spike; however, quite a different pattern emerges during postcrisis periods when there is more variability in conditional covariances. Finally, we provide evidence that all three types of stock indices react positively to oil price changes, but negatively to global equity market volatility, albeit with different magnitudes. Overall, investors can obtain portfolio diversification benefits through SRI and Islamic stock indices, particularly in postcrisis periods.

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“…Though the pandemic has slowed down the growth forecast for almost every major Islamic economies including Iran, Saudi Arabia, Malaysia and Turkey, but the recovery is expected to be V-shaped for the Islamic finance based economies [17] [18] [19]. Islamic finance is basically an ethical finance and its core values are based on the principles of ethics and morality [20] as well as it promotes the social well-being of the poor and vulnerable sections of the society. It has some tailor-made social instruments such as, Qardh-Al-Hasan, Zakat, Social Sukuk and Waqf to help the and fight the emergency like situation.…”

Section: The Role Of Islamic Finance In Post Covid-19 Eramentioning

confidence: 99%

Embracing of Fintech in Islamic Finance in the post COVID era

Rabbani

Abdulla

Basahr

et al. 2020

2020 International Conference on Decision Aid Sciences and Application (DASA)

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The novel corona virus (COVID-19) is a phenomenon with the aftereffects of this pandemic can be felt in the next few years to come. Economic consequences of the pandemic are huge on the Islamic finance industry, it is also evident from the slow growth forecast by the various agencies for the industry. In this paper, we consider this pandemic as an opportunity for the Islamic finance industry to grow and prove its worth again after the global financial crisis of 2008 and emerge as a major contender to the conventional financial system. We develop a model which reveals that COVID-19 is an opportunity with more integrated and transformative growth with high level of standardization, with key focus of the industry on the social cause and tactical adoption of Financial technology. The paper has an implication to the Islamic finance and banking industry as it provides a framework for the future researchers and practitioners to understand and adopt Islamic finance in the post COVID-19 era.

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Coskewness in Islamic, Socially Responsible and Conventional Mutual Funds: An Asset Pricing Test

Cited by 5 publications

References 0 publications

Relative performance of religious and ethical investment funds

Relative performance of religious and ethical investment funds

Islamic, socially responsible, and conventional market comovements: Evidence from stock indices

Embracing of Fintech in Islamic Finance in the post COVID era

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