Diaw, Abdou and Hassan, Salwana and Ng Boon Ka, Adam (2010): Performance of Islamic and conventional exchange traded funds in Malaysia. Published in: The ISRA International Journal of Islamic Finance , Vol. 2, No. 1 (June 2010): pp. 131-149.
Download (514kB) | Preview
ETFs have attracted many investors as one of the most innovative products of financial engineering. By virtue of the nascent nature of MyETF-DJIM Titan 25 and FBM 30ETF in Malaysia, comparative performance studies are essential during a financial crisis. MyETF is different from FBM 30ETF in terms of investment scope and ShariÑah governance structure. While MyETF has achieved its objective in tracking its index, FBM 30ETF has failed in this respect. Despite its higher total risk, MyETF performed better than its index. The same applies in the case of FBM 30ETF. Although MyETF has bigger net assets, economies of scale, and better diversification, the performances of the two funds are lacklustre and similar, with FBM 30ETF performing somewhat better. Notwithstanding their success to outperform their respective benchmarks, both ETFs had comparable negative performance, with decline in prices and NAV. The negative returns have caused abnormality in their measurements.
|Item Type:||MPRA Paper|
|Original Title:||Performance of Islamic and conventional exchange traded funds in Malaysia|
|Keywords:||Islamic Capital market, Islamic ETF, MyETF, FBM 30ETF, Trading, Performance|
|Subjects:||G - Financial Economics > G1 - General Financial Markets
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities
|Depositing User:||Abdou DIAW|
|Date Deposited:||06. Aug 2011 16:52|
|Last Modified:||30. Apr 2015 19:25|
Ackert, L. F and Tian, Y. S. (1999), ‘‘Efficiency in Index Options Markets and Trading in Stocks Baskets’’, Working Paper 99-5, June, Federal Reserve Bank of Atlanta.
Bakar, D.A. (2008), ‘‘More Islamic ETFs in the Works’’, Islamic Finance Asia, August/September 2008.
Bodie, Z. et al. (2009), Investment. Singapore: The McGraw-Hill, 8th edition.
Bursa Malaysia (2008), ‘‘Innovation: Driving the Future of Malaysia’s Islamic Capital Market’’, Islamic Finance Asia, August/September 2008.
Carrel, L. (2008), ETFs For The Long Run-What Are They, How They Work, and Simple Strategies for Successful Long-Term Investing. John Wiley & Sons, Inc.
Deville, L. (2006), ‘‘Exchange Traded Funds: History, Trading and Research’’, Handbook of Financial Engineering, C. Zopounidis, M. Doumpos, P. Pardalos (Ed.) (2008).
Fbm30etf Annual Report 2008.
Ferri, R.A. (2008), The ETF Book-All You Need to Know About Exchange-Traded Funds. John Wiley & Sons, Inc.
Hamedanchi, S. and Altenbach, J (2009), ‘‘Genetics of the Islamic Exchange-Traded Funds’’, Islamic Finance News, 22nd May 2009, Vol. 6, Issue 20.
Harper, J et al. (2006), ‘‘Performance Comparison Between Exchange-Traded Funds And Closed-End Country Funds’’, Journal of International Financial Markets, Institutions & Money, 16.
Hwang DBS Vickers Research (2008), ‘‘MyETF-DJIM25-Islamic appeal for ethical funds’’, Company Focus-Malaysia Equity Research, 31st January 2008.
Lim, K. et al. (2007), ‘‘Financial Crisis and Stock Market Efficiency: Empirical Evidence from Asian Countries’’, International Review of Financial Analysis, 17.
MyETF Dow Jones Islamic Market Malaysia Titans 25 Annual Report 2008.
Prospectus on the FBM30ETF.
Prospectus on Myetf Dow Jones Islamic Market Malaysia Titans 25.
Sharpe, W. F (1992), ‘‘Asset Allocation: Management Style And Performance Measurement, An Asset Class Factor Model Can Help Make Order Out Of Chaos’’, Journal of Portfolio Management, Winter.