The relationship between Islamic hedge funds performance and stock market returns in Malaysia

Abstract EN

The aim of the study is to identify the existence of a relationship and its direction between Islamic hedge fund performance and returns of the stock market in Malaysia from January 2009 to September 2018.

By using monthly data which identity Net Asset Value of Islamic hedge funds and two Malaysian stock market indices as benchmark: The FTSE Bursa Malaysia Shariah Index and the FTSE Bursa Malaysia KLCI.

The panel data method with the random effect is used to investigate the impact of stock market returns on Islamic hedge fund performance.

And we also run the Granger causality test to investigate the possibility of the existence at least one-way causality between variances.

The results show that the Islamic stock market return has a positive impact on Malaysian Islamic hedge fund performance.

Furthermore, the conventional stock market return has also a positive impact.

More importantly, evidence of Granger causality suggests that there is one-way causality from the stock market returns to Islamic hedge fund performance.