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

Yacine Hammami and Abdelmonem Oueslati

Journal of International Financial Markets, Institutions and Money, 2017, vol. 49, issue C, 15-31

Abstract: 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.

Keywords: Islamic mutual funds; The value-added measure; Manager skills; Bootstrapping; Markov-switching models; Value-at-risk (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.intfin.2017.02.002

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Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

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