Article Sidebar

Download
Full text PDF
Statistic
Read Counter : 123 Download : 118

Downloads

Download data is not yet available.

Main Article Content

Abstract

Purpose – This study investigates how the Sharia stock price index influences the relationship between various factors, such as the expense ratio, portfolio turnover ratio, cash ratio, age, size, and characteristics of Sharia mutual funds, and their overall performance.
Methodology – This study employed a quantitative descriptive research method to analyze 316 populations. Purposive sampling was used to obtain a total of 51 samples. We used research tools for data collection and SMART PLS 4 statistical software to analyze the collected data.
Findings – The characteristics of ISSI-moderated mutual funds have a significant positive effect on the performance of Sharia mutual funds. To achieve better performance, investment managers must incur high costs in implementing active strategies. The more active the investment manager is in trading by looking at existing opportunities, the better the performance of the Sharia Mutual Funds.
Implications – The implications of this research indicate that the movement of the Sharia stock price index can strengthen the positive causal relationship between several characteristics of Sharia mutual funds. The effects of Sharia mutual fund portfolio instruments, including shares, bonds, and deposits from the Sharia banking industry, also contribute to improving the performance of Sharia mutual funds in Indonesia.
Originality – This study investigates the moderating role of the Sharia stock price index on several characteristics of Sharia mutual funds, including the expense ratio, portfolio turnover ratio, cash ratio, age of the mutual funds, and size of the mutual funds, in relation to their performance.

Keywords

Sharia stock price index Expense ratio Portfolio turnover ratio Cash ratio

Article Details

License

Copyright (c) 2024 Musdalifah Azis, Dedy Darmalaksana, Suryaningsi Suryaningsi, Muhammad Sukar Jaafar

Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Authors who publish with this journal agree to the following terms:

  1. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
  2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
  3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
How to Cite
Azis, M., Darmalaksana, D., Suryaningsi, S., & Jaafar, M. S. (2024). The Mutual fund investment performance: Indonesia Sharia stock index as characteristics moderating model. Jurnal Ekonomi & Keuangan Islam, 10(2), 263–276. https://doi.org/10.20885/JEKI.vol10.iss2.art9
Download Citation
Endnote/Zotero/Mendeley (RIS)
BibTeX
Crossref
Scopus
Google Scholar
Europe PMC

References

  1. Abbes, M. B., & Trichilli, Y. (2015). Islamic stock markets and potential diversification benefits. Borsa Istanbul Review, 15(2), 93–105. https://doi.org/10.1016/j.bir.2015.03.001
  2. Abdelsalam, O., Fethi, M. D., Matallín, J. C., & Tortosa-Ausina, E. (2014). On the comparative performance of socially responsible and Islamic mutual funds. Journal of Economic Behavior & Organization, 103, S108-S128. https://doi.org/10.1016/j.jebo.2013.06.011
  3. Al Rahahleh, N., & Bhatti, M. I. (2023). Empirical comparison of shariah-compliant vs conventional mutual fund performance. International Journal of Emerging Markets, 18(10), 4504–4523. https://doi.org/10.1108/IJOEM-05-2020-0565
  4. Ardhani, I. A., Effendi, J., & Irfany, M. I. (2020). The effect of macroeconomics variables to net asset value (NAV) growth of sharia mutual funds in Indonesia. Jurnal Ekonomi & Keuangan Islam, 6(2), 134–148. https://doi.org/10.20885/jeki.vol6.iss2.art5
  5. Asmoro, R. M. S., & Syaichu, M. (2022). Analisis pengaruh umur reksa dana, tingkat risiko, expense ratio, turnover ratio, dan market timing ability terhadap kinerja reksa dana saham syariah periode 2016-2020. Jurnal Manajemen Diponegoro, 11, 1–12. https://ejournal3.undip.ac.id/index.php/djom/article/view/33968/26943
  6. Asriwahyuni, I. G. A. P. (2017). Pengaruh ukuran dan umur pada kinerja reksa dana saham di Indonesia. E-Jurnal Akuntansi Universitas Udayana, 21(2), 1460–1487. https://doi.org/10.24843/EJA.2017.v21.i02.p22
  7. Audita, A. Y., Iskandar, R., & Azis, M. (2023). The effect of expense ratio, fund size and fund age on performance of ETF mutual funds with interest rate as a moderating variable. Fair Value: Jurnal Ilmiah Akuntansi Dan Keuangan, 6(1), 55–66. https://journal.ikopin.ac.id/index.php/fairvalue/article/view/3523
  8. Azis, M., Iskandar, R., Ariswati, L. D., Sudirman, I. N., & Darma, D. C. (2022). The Treynor-Mazuy Conditional model: Overview of market timing and stock selection on equity mutual funds performance. Economic Alternatives, 8(2), 252–263. https://doi.org/10.37075/EA.2022.2.05
  9. Babalos, V., Kostakis, A., & Philippas, N. (2009). Managing mutual funds or managing expense ratios? Evidence from the Greek fund industry. Journal of Multinational Financial Management, 19(4), 256–272. https://doi.org/10.1016/j.mulfin.2009.01.001
  10. Bouzekouk, S., & Mansor, F. (2024). The factors influencing the selection of fund management companies by Malaysian retail investors in the context of islamic unit trust funds. Borsa Istanbul Review. https://doi.org/10.1016/j.bir.2024.06.007
  11. Castro, E., Hassan, M.K., Rubio, J.F. & Halim, Z.A. (2020). Relative performance of religious and ethical investment funds. Journal of Islamic Accounting and Business Research, 11(6), 1227-1244. https://doi.org/10.1108/JIABR-04-2019-0084
  12. Cheah, J. H., Magno, F. & Cassia, F. (2024). Reviewing the SmartPLS 4 software: The latest features and enhancements. Journal of Marketing Analytics, 12(13), 97–107. https://doi.org/10.1057/s41270-023-00266-y
  13. Champagne, C., Karoui, A., & Patel, S. (2018), Portfolio turnover activity and mutual fund performance, Managerial Finance, 44(3), 326-356. https://doi.org/10.1108/MF-01-2017-0003
  14. Chowdhury, M. I. H., Balli, F., & de Bruin, A. (2024). Investment styles of Islamic equity funds. International Review of Economics and Finance, 89(Part B), 172–187. https://doi.org/10.1016/j.iref.2023.10.012
  15. Clarke, K. A. (2015). A critical analysis of Islamic equity funds, Journal of Islamic Accounting and Business Research, 6(1), 107-121. https://doi.org/10.1108/JIABR-09-2012-0059
  16. Chen, J., Hong, H., Huang, M., & Kubik. J. D. (2004). Does the fund size erode mutual fund performance? Role of Liquidity and Organization. American Economic Review 94(5): 1276–1302. https://doi.org/10.1257/0002828043052277
  17. Dash, G., & Paul, J. (2021). CB-SEM vs PLS-SEM methods for research in social sciences and technology forecasting. Technological Forecasting and Social Change, 173, 121092. https://doi.org/10.1016/j.techfore.2021.121092
  18. De Mingo-López, D. V., & Matallín-Sáez, J. C. (2018). Institutional investment management: An investor’s perspective on the relation between turnover and performance. Investment Analysts Journal, 47(2), 81–94. https://doi.org/10.1080/10293523.2017.1414370
  19. Dewi, K. and Nurwulandari, A. (2022). Pengaruh stock selection skill, market timing ability , dan fund age terhadap kinerja reksa dana saham dengan fund cash flow sebagai variabel intervening pada perusahaan yang terdaftar di Otoritas Jasa Keuangan Periode 2016– 2020. Jurnal Ilmiah Akuntansi dan Keuangan, 4(4), 1957–1967. https://doi.org/10.32670/fairvalue.v4iSpesial Issue 4.1306
  20. Ding, R., Hou, W., Kuo, J. M., & Lee, E. (2013). Fund ownership and stock price informativeness of Chinese listed firms. Journal of Multinational Financial Management, 23(3), 166-185. https://doi.org/10.1016/j.mulfin.2013.03.003
  21. Dwiprakasa, B., & Dharmastuti, C. F. (2016). Karakteristik reksa dana dan kinerja reksa dana saham di Indonesia. Jurnal Manajemen, 13(1), 94–116. https://doi.org/10.25170/jm.v13i1.810
  22. Endri, E. (2019). Determinant of firm’s value: Evidence of manufacturing sectors listed in indonesia shariah stock index. International Journal of Recent Technology and Engineering, 8(3), 3995–3999. https://doi.org/10.35940/ijrte.C5258.098319
  23. Gad, S., & Andrikopoulos, P. (2019). Diversification benefits of Shari’ah compliant equity ETFs in emerging markets. Pacific Basin Finance Journal, 53, 133–144. https://doi.org/10.1016/j.pacfin.2018.10.009
  24. Ghallabi, F., Yousaf, I., Ghorbel, A., & Li, Y. (2024). Time-varying risk spillovers between renewable energy and Islamic stock markets: Evidence from the Russia-Ukraine conflict. Pacific Basin Finance Journal, 85, 102345. https://doi.org/10.1016/j.pacfin.2024.102345
  25. Graef, F., Vogt, P., Vonhoff, V., & Weigert, F. (2019). Cash holdings and the performance of European mutual funds. Finance Research Letters, 29, 285-291. https://doi.org/10.1016/j.frl.2018.08.006
  26. Harminingtyas, R., & Susetyarsi, T. (2021). Model peningkatan kinerja reksadana syariah berbasis stock selection skill, expense ratio dan tingkat risiko. Jurnal STIE Semarang, 13(2), 1-14. Retrieved from https://jurnal3.stiesemarang.ac.id/index.php/jurnal/article/view/516
  27. Kamil, N. K. M., Bacha, O. I., & Masih, M. (2021). Is there a diversification “cost” of Shari’ah compliance? Empirical evidence from Malaysian equities. Economic Systems, 45(1), 100817. https://doi.org/10.1016/j.ecosys.2020.100817.
  28. Lagu, A. R. H. (2020). Expense ratio, portfolio turnover, dan return reksa dana saham. Perspektif Akuntansi, 3(2), 109–124. https://doi.org/10.24246/persi.v3i2.p109-124
  29. Marzuki, A., & Worthington, A. (2015). Comparative performance-related fund flows for Malaysian Islamic and conventional equity funds. International Journal of Islamic and Middle Eastern Finance and Management, 8(3), 380-394. https://doi.org/10.1108/IMEFM-10-2012-0103
  30. Peillex, J., Erragragui, E., Bitar, M., & Benlemlih, M. (2019). The contribution of market movements, asset allocation and active management to Islamic equity funds’ performance. Quarterly Review of Economics and Finance, 74, 32–38. https://doi.org/10.1016/j.qref.2018.03.013
  31. Purwanto, A., & Sudargini, Y. (2021). Partial least squares structural squation modeling (PLS-SEM) analysis for social and management research: A literature review. Journal of Industrial Engineering & Management Research, 2(4), 114–123. hhttps://doi.org/10.7777/jiemar.v2i4.168
  32. Rachmawati, R., Wahyudi, S., & Pangestuti, I. R. D. (2020). Funds manager and mutual fund characteristics on mutual fund performance: empirical evidence of equity mutual funds in Indonesia. International Journal of Financial Research, 11(2), 77-87. https://doi.org/10.5430/ijfr.v11n2p77
  33. Ridlo, M., Yunianto, T., & Rohmah, I. A. (2021). The effect of exchange rate, Jakarta Islamic Index (JII) and Indonesian Sharia Bank Certificate (SBIS) on Islamic mutual funds growth with inflation as a moderate variable. Al-Amwal: Jurnal Ekonomi dan Perbankan Syari'ah, 13(1), 1-13. https://doi.org/10.24235/amwal.v13i1.7663
  34. Sawant, S., Amonkar, V., & e Melo, F. R. (2023). Performance Evaluation of Mutual Funds Using Risk Return Relationship Models - An Empirical Study. International Journal of Professional Business Review, 8(6), e02205. https://doi.org/10.26668/businessreview/2023.v8i6.2205
  35. Shmueli, G., Ray, S., Velasquez Estrada, J. M., & Chatla, S. B. (2016). The elephant in the room: Predictive performance of PLS models. Journal of Business Research, 69(10), 4552–4564. https://doi.org/10.1016/j.jbusres.2016.03.049
  36. Sukmaningrum, G., & Mahfud, MK (2016). Analisis pengaruh fund cash flow, fund size, fund longevity, expense ratio dan turnover ratio terhadap kinerja reksa dana (Studi kasus: Reksa dana pendapatan tetap periode tahun 2011-2015). Jurnal Manajemen Diponegoro, 5(3), 1–11. https://ejournal3.undip.ac.id/index.php/djom/article/view/14672
  37. Zouaoui, M. (2019). Selectivity and market timing ability of fund managers: Comparative analysis of Islamic and conventional HSBC Saudi mutual funds. International Journal of Financial Studies, 27(3), 48. https://doi.org/10.3390/ijfs7030048