Is there a Ramadhan effect on Sharia mutual funds? Evidence from Indonesia and Malaysia
International Journal of Islamic and Middle Eastern Finance and Management
ISSN: 1753-8394
Article publication date: 19 December 2019
Issue publication date: 17 February 2020
Abstract
Purpose
This paper aims to examine whether Sharia mutual fund managers are able to gain abnormal returns from what is called the Ramadhan effect.
Design/methodology/approach
The authors use GARCH regression on daily data of domestic Sharia mutual fund performance in Indonesia and Malaysia over the period of 2007-2017.
Findings
The authors find that the Ramadhan effect is not a strong predictor of Sharia fund excess return in Indonesia and Malaysia, and they identify a positive Ramadhan abnormal return on the Malaysia Sharia Equity Fund. This result shows there is size effect on sharia fund excess return in Indonesia and value effect on Sharia Balanced Fund in both markets. It is suggested that the effect of market excess return in Indonesia is stronger than in Malaysia.
Research limitations/implications
The samples are limited to Sharia Funds over the period 2007-2017.
Practical implications
The authors suggest that size and value effect could be considered to develop the selection and timing strategies to explore the Ramadhan effect.
Originality/value
This study focuses on Indonesia and Malaysia, the two largest Islamic Stock Markets in Southeast Asia and examines specific on Sharia Mutual Fund (equity and balanced fund). It also compares differences in total performance measures between the Ramadhan period and non-Ramadhan period.
Keywords
Citation
Rokhim, R. and Octaviani, I. (2020), "Is there a Ramadhan effect on
Publisher
:Emerald Publishing Limited
Copyright © 2019, Emerald Publishing Limited