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

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  • Ghulam Nabi
  • Ramiz ur Rehman
  • Rizwan Ali
  • Atif Jadoon
Abstract
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.

Suggested Citation

  • Ghulam Nabi & Ramiz ur Rehman & Rizwan Ali & Atif Jadoon, 2024. "Persistence of multidimensional time‐varying skills of fund managers: A comparison of conventional and Islamic equity funds," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 45(2), pages 880-895, March.
    • Handle: RePEc:wly:mgtdec:v:45:y:2024:i:2:p:880-895
    DOI: 10.1002/mde.4052
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