Measuring skill in the Islamic mutual fund industry: Evidence from GCC countries

被引：13

作者：

Hammami, Yacine ^{[1
,2
]}

Oueslati, Abdelmonem ^{[3
]}

机构：

[1] AlBaha Univ, Fac Adm & Financial Sci, Al Bahah, Saudi Arabia

[2] Univ Manouba, ESCT, RIM RAF UR13E S56, Campus Univ, Manouba 2010, Tunisia

[3] Univ Tunis El Manar, FSEG, Tunis, Tunisia

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2017年 / 49卷

关键词：

Islamic mutual funds; The value-added measure; Manager skills; Bootstrapping; Markov-switching models; Value-at-risk; MARKET EQUILIBRIUM; STOCK MARKETS; SHARIA STOCKS; CO-MOVEMENT; HOME BIAS; EQUITY; PERSISTENCE; PERFORMANCE; INDEXES; CONTAGION;

D O I：

10.1016/j.intfin.2017.02.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the performance of Islamic mutual funds in GCC countries using the Berk and Van Binsbergen (2015) value-added measure. We find compelling evidence that skilled managers exist in the Islamic mutual fund industry. The average mutual fund has used this skill to generate approximately $198,000 per month. The bootstrap methodology highlights that this performance is not obtained by chance. Finally, we document that in bad economic times, Islamic mutual funds have lower value-at-risk and higher Sharpe ratios than conventional benchmarks, supporting the claim that they are a means of hedging against international financial crises. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：15 / 31

页数：17

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