Identification of macroeconomic determinants for diversification and investment strategy for Islamic unit trust funds in Malaysia
Purpose – This study aims to investigate the role of selected macroeconomic variables in influencing the movement of Net Asset Value (NAV) of the Islamic Unit Trust Funds (UTFs) in Malaysia. In efforts to arrive at more enriching findings, the UTFs are further categorised into equity, bond, balan...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English English English |
| Published: |
Emerald Publisher
2018
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/65320/ http://irep.iium.edu.my/65320/ http://irep.iium.edu.my/65320/ http://irep.iium.edu.my/65320/1/65320_Identification%20of%20macroeconomic.pdf http://irep.iium.edu.my/65320/7/65320_Identification%20of%20macroeconomic%20determinants_scopus.pdf http://irep.iium.edu.my/65320/12/65320%20Identification%20of%20macroeconomic%20determinants%20for%20diversification%20and%20investment%20strategy%20for%20Islamic%20unit%20trust%20funds%20in%20Malaysia_wos.pdf |
| Summary: | Purpose – This study aims to investigate the role of selected macroeconomic variables in influencing
the movement of Net Asset Value (NAV) of the Islamic Unit Trust Funds (UTFs) in Malaysia. In
efforts to arrive at more enriching findings, the UTFs are further categorised into equity, bond,
balanced, fixed, mixed, money market and feeder funds.
Design/methodology/approach – The study adopts the Vector Autoregression framework
(Johansen-Juselius (1990), cointegration test and Vector Error Correction Model to analyse the
relationship between the macroeconomic variables and the NAVs of the various type of funds.
Findings – The study shows that there is a significant long-run equilibrium relationship between the
macroeconomic variables and the NAV of all Islamic UTFs in Malaysia. Despite of this, the findings
show that different funds have different responses to the movements of the macroeconomic
variables.
Practical implications – The results of the study are of significant importance to the various
stakeholders in the Islamic UTF industry. Investors benefit in terms of getting the inputs on their
investment decisions as to whether to buy, hold or sell fund units within their investment portfolio in
the long-run, along with building their optimal portfolio diversification investment strategy,
especially in reallocating their assets distribution between the various types of funds in the UTFs
industry. For the policy-makers, the findings of the study may assist them in evaluating the
suitability of the existing economic policies as to whether they positively or negatively contribute to
the development of the Islamic UTFs.
Originality/value – This paper fulfils the need to understand how unit-holders can strategise and
diversify their portfolio investments in the Malaysian Islamic UTFs industry based on detailed
understanding and knowledge derived from rational and scientific inputs. |
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