Comparative performance between Islamic and conventional equity funds in Malaysia
This study examines the relationship between Islamic and conventional equity funds for the period of January 2011 to December 2015. The performances of both types of funds are then compared to the market benchmark to determine whether they outperformed their respective market benchmark. The FTSE Bur...
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HG Finance Thohirah, Zainun Comparative performance between Islamic and conventional equity funds in Malaysia |
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This study examines the relationship between Islamic and conventional equity funds for the period of January 2011 to December 2015. The performances of both types of funds are then compared to the market benchmark to determine whether they outperformed their respective market benchmark. The FTSE Bursa Malaysia EMAS Index (FBMEMAS) is used as the market benchmark for Islamic equity funds and FTSE Bursa Malaysia index (FBMKLCI) is used as the market benchmark for conventional equity funds. A total of 18 Islamic equity funds and 32 conventional equity funds are evaluated by using three performance measures namely Treynor index, Sharpe index and Jensen alpha. The weekly Net Asset Value (NAV) of the Islamic and conventional equity funds, the market benchmark of FBMEMAS and FBMKLCI were obtained from the Bloomberg database.
The results indicate that the average returns of conventional equity funds are higher than the Islamic equity funds. Nevertheless, when compared against their respective benchmark, Islamic equity funds performed better than its Shariah benchmark while conventional underperform its composite benchmark. Conventional equity funds also have higher standard deviation than Islamic equity funds which implied that conventional equity funds are more risky than Islamic equity funds. Additionally, systematic risk analysis shows that Islamic equity funds have lower beta value than conventional equity funds; hence it shows that Islamic equity funds are less sensitive to the changes in the market. This study could be further investigated in a bigger sample and characteristics while performance can be measured using other technique than Sharpe index, Treynor index and Jensen alpha. |
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Thesis |
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masters |
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Master's degree |
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Thohirah, Zainun |
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Thohirah, Zainun |
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Thohirah, Zainun |
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Comparative performance between Islamic and conventional equity funds in Malaysia |
| title_short |
Comparative performance between Islamic and conventional equity funds in Malaysia |
| title_full |
Comparative performance between Islamic and conventional equity funds in Malaysia |
| title_fullStr |
Comparative performance between Islamic and conventional equity funds in Malaysia |
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Comparative performance between Islamic and conventional equity funds in Malaysia |
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comparative performance between islamic and conventional equity funds in malaysia |
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Universiti Utara Malaysia |
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School of Economics, Finance & Banking |
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2016 |
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https://etd.uum.edu.my/7615/1/s810265_01.pdf https://etd.uum.edu.my/7615/2/s810265_02.pdf |
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my-uum-etd.76152021-12-08T03:27:49Z Comparative performance between Islamic and conventional equity funds in Malaysia 2016 Thohirah, Zainun Nordin, Norhafiza School of Economics, Finance & Banking School of Economics, Finance & Banking HG Finance This study examines the relationship between Islamic and conventional equity funds for the period of January 2011 to December 2015. The performances of both types of funds are then compared to the market benchmark to determine whether they outperformed their respective market benchmark. The FTSE Bursa Malaysia EMAS Index (FBMEMAS) is used as the market benchmark for Islamic equity funds and FTSE Bursa Malaysia index (FBMKLCI) is used as the market benchmark for conventional equity funds. A total of 18 Islamic equity funds and 32 conventional equity funds are evaluated by using three performance measures namely Treynor index, Sharpe index and Jensen alpha. The weekly Net Asset Value (NAV) of the Islamic and conventional equity funds, the market benchmark of FBMEMAS and FBMKLCI were obtained from the Bloomberg database. The results indicate that the average returns of conventional equity funds are higher than the Islamic equity funds. Nevertheless, when compared against their respective benchmark, Islamic equity funds performed better than its Shariah benchmark while conventional underperform its composite benchmark. Conventional equity funds also have higher standard deviation than Islamic equity funds which implied that conventional equity funds are more risky than Islamic equity funds. Additionally, systematic risk analysis shows that Islamic equity funds have lower beta value than conventional equity funds; hence it shows that Islamic equity funds are less sensitive to the changes in the market. This study could be further investigated in a bigger sample and characteristics while performance can be measured using other technique than Sharpe index, Treynor index and Jensen alpha. 2016 Thesis https://etd.uum.edu.my/7615/ https://etd.uum.edu.my/7615/1/s810265_01.pdf text eng public https://etd.uum.edu.my/7615/2/s810265_02.pdf text eng public http://sierra.uum.edu.my/record=b1698766~S1 masters masters Universiti Utara Malaysia Abdullah et al. (2000), “Malaysian Islamic and Conventional Mutual Funds, Pertanika Journal of Social Science and Humanities, 8(2), 30-49. Abdullah et al. (2007), Investigation of performance of Malaysian Islamic unit trust funds: Comparison with conventional unit trust funds, Managerial Finance, 33(2), 142–153. Abdullah and Abdullah (2009), “The performance of Malaysian unit trusts investing in domestic versus international markets” Asian Academy Of Management Journal of Accounting and Finance, 5(2), 77–100. Annuar et al. 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