Browsing by Author "Othman, Anwar Hasan Abdullah"

The purpose of this study is to examine the relationship between the NAV of the Islamic equity unit trust funds and macroeconomic variables, namely consumer price index, Industrial production index, three-month treasury bill rate, money supply (M3) and crude oil price as well as the recent global financial crisisin Malaysian financial industry. The analysis based on monthly closing price for a sample of 68 equity unit trust fundsovera period of 6 years, from January 2004 to December 2009, where the years from 2007 to 2009 are consideredas crisis period.Multiple regression and analysis model has been adopted for analyzingthe relationship. The study also compares the performance of Islamic and conventional equity unit trust funds for Malaysian capital market. The major findings of the study show that, CPI, IPI, M3, and crude oil price have significant relationship with the NAV of the Islamic equity unit trust funds in Malaysian capital market. In addition, the current global financial crisis records the highest positive relationship with the NAV of the Islamic unit trust funds. However, the three-month treasury bill rate has no statistically significant relationship with the NAV of the Islamic equity unit trust funds. The results also reveal that Islamic equity unit trust funds achieve higher capital appreciation than the conventional equity unit trust funds. This study facilitates the investors in taking effective investment decisions by estimating the future direction of NAV of the Islamic equity unit trust funds using the expected trend in the macroeconomic variables such as CPI, IPI and Oil Price as well as the effect of the recent global financial crisis. Therefore, the study suggests that macroeconomic policy should be designed keeping in view the response of the Islamic unit trust industry as the efficient market respond to the new information. In addition, the empirical result of this study also will present the investors with new prospective of selecting the type of funds as the part of their portfolio selection, whether Islamic equity fund or conventional equity fund.

Over the past two decades, the Islamic unit trust industry in Malaysia has experienced rapid growth and continues to grow at a fast pace. This high growth highlights the uniqueness of the Islamic unit trust investment which diversifies Shar?`ah compliant asset investments and provides several advantages. Even though the unit trust industry has witnessed high growth in portfolio size, performances, and regulations, various aspects of the industry remain poorly understood due to a general lack of information on the funds’ unit price behaviours and mechanisms. Forecasting the price movements in the equity unit trust industry has been a major challenge for various investors, management funds, brokers, and policy makers. This research investigates the effects of microeconomic and macroeconomic variables and the 2007-2008 Global Financial Crisis on the NAV of the Islamic equity unit trust funds. This research utilised the Autoregressive Distributed Lag (ARDL) model and the Vector Autoregression (VAR) model to analyse this relationship over the January 2006 to December 2012 period using monthly data. The results showed a significant long-run equilibrium relationship between the Fund Dividends, Fund Historical Performance, Fund Size, Hedge Funds, Industrial Production Index, Money Supply (M3), Foreign Exchange Rate, Crude Oil Price, Corruption Index, and the NAV of the Islamic equity unit trust funds in the Malaysian capital market. In addition, the causality tests results showed that the Industrial Production Index, National Political Election, and 2007/2008 Global Financial Crisis have significant unidirectional causal effects on the NAV of Islamic equity unit trust funds, while Crude Oil Price has bidirectional causal effect with the NAV of the Islamic equity unit trust funds. The findings of this research will assist investors, fund managers, industry players, and policy makers to estimate and predict the future trend direction of the NAV of Islamic equity unit funds and accordingly make sufficient investment decisions. Key words: Net Asset Value, Islamic Unit Trust, Micro and Macroeconomic Variables, Malaysia