On the comparative performance of socially responsible and Islamic mutual funds

Abstract

Citation for published item:edelslmD yF nd huygun pethiD wF nd wtll¡ %nD tFgF nd ortosEeusinD iF @PHIRA 9yn the omprtive performne of soilly responsile nd sslmi mutul fundsF9D tournl of eonomi ehvior nd orgniztionFD IHQ F IHVEIPVF Further information on publisher's website: 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. Meryem Duygun Fethi University of Leicester Juan Carlos MatallínUniversitat Jaume I Emili Tortosa-AusinaUniversitat Jaume I and Ivie May 20, 2013Abstract This is the first study to provide comprehensive analyses of the relative performance of both Socially Responsible Investment (SRI) and Islamic mutual funds. The analysis proceeds in two stages. In the first, the performance of the two categories of funds is measured using partial frontier methods. In the second stage, we use quantile regression techniques. By combining two variants of the Free Disposal Hull (FDH) methods (order-m and order-α) in the first stage of analysis and quantile regression in the second stage, we provide detailed analyses of the impact of different covariates across methods and across different quantiles. In spite of the differences in the screening criteria and portfolio management of both types of funds, variation in the performance is only found for some of the quantiles of the conditional distribution of mutual fund performance. We established that for the most inefficient funds the superior performance of SRI funds is significant. In contrast, for the best mutual funds this evidence vanished and even Islamic funds perform better than SRI. These results show the benefits of performing the analysis using quantile regression.

Social identification and investment decisions

“…The findings of this paper could also have implications for other types of financial services, such as Islamic finance (e.g., Abdelsalam et al, 2014;Belal et al, 2014;Mallin et al, 2014;Shaban et al, 2014). Investors with a strong religious identity are likely to also seek financial products that are consistent with their identity.…”

“…Our paper focuses on SRI, but its conclusions might have broader implications for how social identity matters in financial markets. For instance, Islamic mutual funds pay close attention to social responsibility (e.g., Abdelsalam et al, 2014).…”

Diversification-consistent data envelopment analysis based on directional-distance measures

“…Daouia and Simar [21], which are based on partial frontier estimation. These methods were recently applied to access efficiency of mutual funds, see Abdelsalam et al [1], and Matallín-Sáez et al [55]. The contamination technique was used to investigate stability of stochastic dominance efficiency tests, see Dupačová and Kopa [24].…”

Islamic Banking and Finance: Recent Empirical Literature and Directions for Future Research

“…There is little evidence, however, that Islamic funds perform worse – Hayat and Kräussl () being the exception. A couple of studies have combined efficiency analysis (that tends to dominate the empirical Islamic banking literature) with analysis of fund returns (Saad et al ., ; and Abdelsalam et al ., ). Saad et al .…”