Persistence of multidimensional time‐varying skills of fund managers: A comparison of conventional and Islamic equity funds

This comparative study investigates the time‐varying skills of Shariah‐Compliant and conventional equity fund managers in selectivity, volatility, market return, liquidity, and higher‐order of Multidimensional Time‐Varying Skills of Fund Managers: A Comparison of Conventional and Islamic Equity Fund...

Full description

Saved in:
Bibliographic Details
Published in:Managerial and decision economics 2024-03, Vol.45 (2), p.880-895
Main Authors: Nabi, Ghulam, Rehman, Ramiz, Ali, Rizwan, Jadoon, Atif
Format: Article
Language:English
Subjects:
Comparative studies
Islam
Islamic countries
Kurtosis
Liquidity
Skewness
Volatility
Citations: Items that this one cites
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This comparative study investigates the time‐varying skills of Shariah‐Compliant and conventional equity fund managers in selectivity, volatility, market return, liquidity, and higher‐order of Multidimensional Time‐Varying Skills of Fund Managers: A Comparison of Conventional and Islamic Equity Fundsco‐moments. Additionally, it examines the persistence and causal relationships among these timing abilities. The analysis utilizes equity mutual funds data from January 2010 to June 2022, encompassing three major Islamic countries: Saudi Arabia, Malaysia, and Pakistan, representing over 80% of the Islamic funds market. Employing diverse time‐varying techniques, this study reveals the presence of selectivity, volatility, and co‐skewness timing skills while detecting the absence of a market, liquidity, and co‐kurtosis timing abilities among conventional and Islamic fund managers.
ISSN:0143-6570
1099-1468
DOI:10.1002/mde.4052