5,099
Views
3
CrossRef citations to date
0
Altmetric
GENERAL & APPLIED ECONOMICS

Impact of COVID-19 on mutual fund performance in Saudi Arabia

ORCID Icon, &
Article: 2056361 | Received 17 Nov 2021, Accepted 18 Mar 2022, Published online: 31 Mar 2022

References

  • Ajmi, H., Arfaoui, N., & Saci, K. (2021). Volatility transmission across international markets amid COVID 19 pandemic. Studies in Economics and Finance, 38(5), 926–22. https://doi.org/10.1108/SEF-11-2020-0449
  • Al-Awadhi, A., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27(1), 1003–1026. https://doi.org/10.1016/j.jbef.2020.100326
  • AlRahahleh, N., & Bhatti, I. (2017). Mutual funds performance in Saudi Arabia. <https://cma.org.sa/en/Market/Documents/MF_in_KSA_en.pdf>
  • Alsubaiei, B. 2019, ‘Mutual fund flows and performance in Saudi Arabia: analysis of how new factors impact fund flow and performance’, PhD thesis, Loughborough University.
  • Alsubaiei, B. (2021). Do stock market risk factors explain mutual fund returns? Evidence from Saudi Arabia. The Scientific Journal of King Faisal University: Humanities and Management Sciences, 23(1), 1–7. https://doi.org/10.37575/h/mng/210044
  • Alzyadat, J., & Asfoura, E. (2021). The effect of COVID-19 pandemic on stock market: An empirical study in Saudi Arabia. The Journal of Asian Finance, Economics and Business, 8(5), 913–921. https://doi.org/10.13106/jafeb.2021.vol8.no5.0913
  • Ashraf, D. (2013). Performance evaluation of Islamic mutual funds relative to conventional funds. International Journal of Islamic and Middle Eastern Finance and Management, 6(2), 105–121. https://doi.org/10.1108/17538391311329815
  • Atassi, H., & Yusuf, N. (2021). The effect of COVID-19 on investment decisions in Saudi stock market. The Journal of Asian Finance, Economics and Business, 8(6), 797–807. https://doi.org/10.13106/jafeb.2021.vol8.no6.0797
  • Baltagi, B. (2008). Econometric analysis of panel data (Third ed.). John Wiley & Sons Ltd., West Sussex.
  • BinMahfouz, S., & Hassan, K. (2012). A comparative study between the investment characteristics of islamic and conventional equity mutual funds in Saudi Arabia. The Journal of Investing, 21(4), 128–143. https://doi.org/10.3905/joi.2012.21.4.128
  • Bodie, Z., Kane, A., & Marcus, A. (2010). Essentials of Investments (8th edn ed.). McGraw-Hill.
  • Breusch, T., & Pagan, A. (1980). The Lagrange multiplier test and its applications to model specification in econometrics. The Review of Economic Studies, 47(1), 239–253. https://doi.org/10.2307/2297111
  • Campbell, J., & Vuolteenaho, T. (2004). Bad beta, good beta. American Economic Review, 94(5), 1249–1275. https://doi.org/10.1257/0002828043052240
  • Carhart, M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82. https://doi.org/10.1111/j.1540-6261.1997.tb03808.x
  • Chow, G. C. (1960). Tests of equality between sets of coefficients in two linear regressions. Econometrica: Journal of the Econometric Society, 28(3), 591–605. https://doi.org/10.2307/1910133
  • Clogg, C. C., Petkova, E., & Haritou, A. (1995). Statistical methods for comparing regression coefficients between models. American Journal of Sociology, 100(5), 1261–1293. https://doi.org/10.1086/230638
  • Corbet, S., Hou, Y. G., Hu, Y., Oxley, L., & Xu, D. (2021). Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre. International Review of Economics & Finance, 71(1), 55–81. https://doi.org/10.1016/j.iref.2020.06.022
  • Elgammal, M., Ahmed, W., & Alshami, A. (2021). Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic. Resources Policy, 74(1), 102334. https://doi.org/10.1016/j.resourpol.2021.102334
  • Engelhardt, N., Krause, M., Neukirchen, D., & Posch, P. (2021). Trust and stock market volatility during the COVID-19 crisis. Finance Research Letters, 38(1), 101873. https://doi.org/10.1016/j.frl.2020.101873
  • Erdem, O. (2020). Freedom and stock market performance during Covid-19 outbreak. Finance Research Letters, 36(1), 101671. https://doi.org/10.1016/j.frl.2020.101671
  • Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5
  • Fama, E., & French, K. (2004). The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives, 18(3), 25–46. https://doi.org/10.1257/0895330042162430
  • Fama, E., & French, K. (2010). Luck versus skill in the cross‐section of mutual fund returns. The Journal of Finance, 65(5), 1915–1947. https://doi.org/10.1111/j.1540-6261.2010.01598.x
  • Fama, E., & French, K. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22. https://doi.org/10.1016/j.jfineco.2014.10.010
  • Fama, E., & French, K. (2017). International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3), 441–463. https://doi.org/10.1016/j.jfineco.2016.11.004
  • Foye, J. (2018). A comprehensive test of the Fama-French five-factor model in emerging markets. Emerging Markets Review, 37 , 199–222. https://doi.org/10.1016/j.ememar.2018.09.002
  • Gao, X., Ren, Y., & Umar, M. (2021). To what extent does COVID-19 drive stock market volatility? A comparison between the US and China. Economic Research-Ekonomska Istraživanja, forthcoming , 1–21. https://doi.org/10.1080/1331677X.2021.1906730
  • General Authority for Statistics. (2020). Gross Domestic Product. viewed 28/06/2021 <https://www.stats.gov.sa/sites/default/files/Gross%20Domestic%20Product%20annual%202020%20EN.pdf>
  • Grinblatt, M., & Titman, S. (1993). Performance measurement without benchmarks: An examination of mutual fund returns. Journal of Business, 66(1), 47–68. https://doi.org/10.1086/296593
  • Hausman, J. (1978). Specification tests in econometrics. Econometrica, 46(1), 1251–1272. https://doi.org/10.2307/1913827
  • Huij, J., & Post, T. (2011). On the performance of emerging market equity mutual funds. Emerging Markets Review, 12(3), 238–249. https://doi.org/10.1016/j.ememar.2011.03.001
  • Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65–91. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x
  • Jensen, M. (1968). The performance of mutual funds in the period 1945–1964. The Journal of Finance, 23(2), 389–416. https://doi.org/10.1111/j.1540-6261.1968.tb00815.x
  • Kosowski, R. (2011). Do mutual funds perform when it matters most to investors? US mutual fund performance and risk in recessions and expansions. The Quarterly Journal of Finance, 1(3), 607–664. https://doi.org/10.1142/S2010139211000146
  • Kosowski, R., Timmermann, A., Wermers, R., & White, H. (2006). Can mutual fund “stars” really pick stocks? New evidence from a bootstrap analysis. The Journal of Finance, 61(6), 2551–2595. https://doi.org/10.1111/j.1540-6261.2006.01015.x
  • Malkiel, B. (1995). Returns from investing in equity mutual funds 1971 to 1991. The Journal of Finance, 50(2), 549–572. https://doi.org/10.1111/j.1540-6261.1995.tb04795.x
  • Mazur, M., Dang, M., & Vega, M. (2021). COVID-19 and the march 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, 38(1), 101690. https://doi.org/10.1016/j.frl.2020.101690
  • Merdad, H., Hassan, K., & Alhenawi, Y. (2010). Islamic versus conventional mutual funds performance in Saudi Arabia: A case study. Journal of King Abdulaziz University: Islamic Economics, 23(2), 161–198. https://doi.org/10.4197/Islec.23-2.6
  • Mirza, N., Naqvi, B., Rahat, B., & Rizvi, S. K. A. (2020). Price reaction, volatility timing and funds’ performance during Covid-19. Finance Research Letters, 36(1), 101657. https://doi.org/10.1016/j.frl.2020.101657
  • Moskowitz, T. J. (2000). Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs, and expenses: Discussion. The Journal of Finance, 55(4), 1695–1703. https://doi.org/10.1111/0022-1082.00264
  • Omri, A., Soussou, K., & Goucha, N. (2019). On the post-financial crisis performance of Islamic mutual funds: The case of Riyad funds. Applied Economics, 51(18), 1929–1946. https://doi.org/10.1080/00036846.2018.1529403
  • Pástor, Ľ., & Vorsatz, M. B. (2020). Mutual fund performance and flows during the COVID-19 crisis. The Review of Asset Pricing Studies, 10(4), 791–833. https://doi.org/10.1093/rapstu/raaa015
  • Rahman, M., Amin, A., & Al-Mamun, M. (2021). The COVID-19 outbreak and stock market reactions: Evidence from Australia. Finance Research Letters, 38(1), 101832. https://doi.org/10.1016/j.frl.2020.101832
  • Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
  • Sheppard, D., McCormick, M., Raval, A., Brower, D., & Lockett, H. (2020). ‘US oil price below zero for first time in history’, Financial Times, 21 April 2020, https://www.ft.com/content/a5292644-958d-4065-92e8-ace55d766654
  • So, M. K., Chu, A. M., & Chan, T. W. (2021). Impacts of the COVID-19 pandemic on financial market connectedness. Finance Research Letters, 38(1), 101864. https://doi.org/10.1016/j.frl.2020.101864
  • Weesie, J. (1999). Seemingly unrelated estimation and the cluster-adjusted sandwich estimator. Stata Technical Bulletin, 52(1), 37–47. https://www.stata-press.com/journals/stbcontents/stb52.pdf
  • Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of Finance, 55(4), 1655–1695. https://doi.org/10.1111/0022-1082.00263
  • World Bank Group. (2020). June 2020 Global Economic Prospects. <https://www.worldbank.org/en/publication/global-economic-prospects>
  • Worldometers 2021, Coronavirus Cases, Worldometers website, 28/July/2021, <https://www.worldometers.info/coronavirus/#countries>
  • Xu, L. (2021). Stock Return and the COVID-19 pandemic: Evidence from Canada and the US. Finance Research Letters, 38(1), 101872. https://doi.org/10.1016/j.frl.2020.101872
  • Zaremba, A., Aharon, D. Y., Demir, E., Kizys, R., & Zawadka, D. (2021). COVID-19, government policy responses, and stock market liquidity around the world: A note. Research in International Business and Finance, 56(1), 101359. https://doi.org/10.1016/j.ribaf.2020.101359