Relationship between Macroeconomic Variables and Net Asset Value (NAV) of Islamic Equity Unit Trust Funds: Cointegration Evidence from Malaysian Unit Trust Industry

Global Journal of Business and Social Science Review, Vol. 1(3), p. 5-16, 2013

12 Pages Posted: 20 Jul 2017 Last revised: 29 Jul 2017

See all articles by Anwar Hasan Abdullah Othman

Anwar Hasan Abdullah Othman

International Islamic University of Malaysia (IIUM)

Ahamed Kameel Meera

International Islamic University

Hasanuddeen Abdul Aziz

International Islamic University of Malaysia (IIUM)

Date Written: August 27, 2013

Abstract

Objective – Even though the unit trust industry witnessed high growth in portfolios size, performances and regulations, however, there is still insufficient understanding of various aspects of the industry such as the lack of information on the funds’ unit price behavior and their trend in the long-term investment. This study, therefore, aims to investigate the long-run relationship between the chosen macroeconomic factors and the NAV of the Islamic equity unit trust funds as well as the effect of the (2007-2008) global financial crisis on the performance of Islamic equity unit trust funds and their unit prices.

Methodology/Technique – The study utilized Vector Autoregression (VAR) framework in order to analyze this relationship over the period January 2006 to December 2012 using monthly data.

Findings – The findings of the investigations confirmed that the selected macro-economic variables do share long-run relationship with the NAV of the Islamic equity unit trust funds in the Malaysian capital market.

Novelty – A successful innovation of the relationship between the funds NAV and the selected macroeconomic variables will assist the entire interested group, such as, investors, management of the funds, government agencies, industry players and policy makers to estimate the future trend direction of the NAV and accordingly decide on the operational, managerial, and sustainable growth decisions.

Keywords: Islamic Equity Unit Trust Funds, Macroeconomic Variables, Malaysia

JEL Classification: E10, E59, G20, G29

Suggested Citation

Othman, Anwar Hasan Abdullah and Meera, Ahamed Kameel and Abdul Aziz, Hasanuddeen, Relationship between Macroeconomic Variables and Net Asset Value (NAV) of Islamic Equity Unit Trust Funds: Cointegration Evidence from Malaysian Unit Trust Industry (August 27, 2013). Global Journal of Business and Social Science Review, Vol. 1(3), p. 5-16, 2013. Available at SSRN: https://ssrn.com/abstract=3000882

Anwar Hasan Abdullah Othman (Contact Author)

International Islamic University of Malaysia (IIUM) ( email )

P.O. Box 10
Jalan Gombak
Kuala Lumpur, selangor 50728
Malaysia

Ahamed Kameel Meera

International Islamic University ( email )

PO Box 1243
Sector H-10
Islamabad, Kpk 44000
Pakistan

Hasanuddeen Abdul Aziz

International Islamic University of Malaysia (IIUM) ( email )

P.O. Box 10
Jalan Gombak
Kuala Lumpur, selangor 50728
Malaysia

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