Factors Affecting the Performance of Sharia Equity Funds in Indonesia

Document Type: Research Paper

Authors

Faculty of Business, President University, Jawa Barat, Indonesia

Abstract

By the end of 2018, the net asset value in total and the number of Sharia mutual funds in Indonesia is dominated by the Sharia equity fund. Therefore, this study sought to address the factors of internal and external factors affecting the Sharia equity funds’ performance in Indonesia in the period 2010-2018. The fund performance is measured with the Sharpe ratio. The determinants of fund performance are investment manager’s Stock selection skill, Market timing ability, and Percentage change in asset under management as internal factors. In addition, the selected external factors are Inflation rate and Percentage change in exchange rate. This study adopted panel data analysis using secondary data of 8 selected samples of Sharia equity funds. The results revealed that investment manager’s Stock selection skill, Percentage change in asset under management, and Inflation rate positively and significantly affect performance of Sharia equity funds. On the other hand, investment manager’s Market timing ability insignificantly affects Sharia equity fund performance. While, Percentage change in exchange rate negatively and significantly affects Sharia Equity Funds Performance.

Keywords

Main Subjects


Article Title [Persian]

عوامل موثر بر عملکرد صندوق های سهام شریعت در اندونزی

Authors [Persian]

  • چاندرا ستیا وان
  • نی پوتا کانیلا واتی
برنامه مطالعات مدیریت، دانشکده کسب و کار، دانشگاه ریاست جمهوری، جاوه غربی، اندونزی
Abstract [Persian]

در انتهای سال 2018، کل خالص ارزش دارایی ‌ها و ارزش برخی از تعداد صندوق های مشترک اسلامی در اندونزی تحت تاثیر و سلطه صندوق های سهامی اسلامی بوده است. از این رو این مطالعه به دنبال معرفی عوامل داخلی و خارجی موثر بر عملکرد صندوق های سهام اسلامی در اندونزی در طی دوره 2010-2018می­باشد. عملکرد صندوق توسط نسبت شارپ اندازه گیری شده است. عوامل داخلی تعیین کننده عملکرد صندوق عبارتند از مهارت انتخاب سهام توسط مدیر سرمایه گذاری، توانایی زمان بندی بازار و درصد تغییر در دارایی تحت مدیریت؛ عوامل خارجی منتخب نیز شامل نرخ تورم و درصد تغییر در نرخ ارز می باشند. این مطالعه روش تجزیه و تحلیل داده های پانل را برای داده های ثانویه 8 نمونه انتخابی ازصندوق سهام اسلامی به کار برده است. نتایج نشان داد که مهارت انتخاب سهام  توسط مدیر سرمایه گذاری، درصد تغییر در دارایی تحت مدیریت و نرخ تورم به طور مثبت و معناداری برعملکرد صندوق های سهامی اسلامی تاثیر می گذارد. از سویی دیگر، توانایی زمان بندی بازار مدیر سرمایه گذاری اثر معنی داری بر عملکرد صندوق های سهام شریعت ندارد. در حالیکه اثر درصد تغییر در نرخ ارز بر عملکرد صندوق های سهام شریعت منفی و معنادار است.

Keywords [Persian]

  • نسبت شارپ
  • مهارت انتخاب سهام
  • توانایی زمان بندی بازار
  • نرخ تورم
  • نرخ ارز

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