The aim of this paper is twofold. First, it proposes to determine the irrational behavior of Unde... more The aim of this paper is twofold. First, it proposes to determine the irrational behavior of Undertakings for Collective Investment in Transferable Securities (UCITS henceforth) by looking into psychological biases. Second, it proposes to study the impact of these psychological biases on the performance of Tunisian UCITS during the February 2005 to December 2015 period. To this end, we used two methods; qualitative and quantitative methods. Through a questionnaire, the results indicate that 35% of the managers of UCITS in Tunisia are not rational. Their decision-making is often influenced by the following biases: herding, fear, heuristics and anchoring. The results also indicate that this irrational behavior did not significantly change after the Tunisian revolution. Accordingly, in order to measure the effect of these biases on performance, we developed a composite model that groups together the studied psychological biases. We found that despite the moderate presence of these psyc...
This paper empirically compares the market timing, the stock selection and the performance persis... more This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis (locally, Arab, internationally) and Sharia compliance (Islamic and conventional). The empirical results indicate that Islamic funds underperformed conventional funds internationally but not locally. Findings suggest that the market selectivity skills of managers in the Islamic funds are better than the conventional funds. In addition, only the managers of Saudi conventional funds investing internationally have a good market timing skills, thus, they are able to beat the market index by predicting its movements and buying and selling accordingly. Furthermore, this study gives a brief idea about the performance persistence of HSBC Saudi funds. The results confirm existence of the persistence pe...
International Journal of ADVANCED AND APPLIED SCIENCES
This paper investigated whether the royal decree of September 2017 allowing women to drive affect... more This paper investigated whether the royal decree of September 2017 allowing women to drive affects the relationship between market orientation and firm performance of official car dealerships in Saudi Arabia. In the empirical investigation, a quantitative method was used, focusing on car dealership managers and executives. The hypotheses were tested using structural equation modelling with data collected from 94 questioned. Market orientation dimensions that were investigated included customer orientation, competitor orientation, and inter-functional coordination. The results indicate a positive effect of market orientation on company performance in Saudi Arabia over two periods, before and after the application of the decree. Before the royal decree, only two of the three dimensions of market orientation affected company performance, customer orientation, and inter-functional coordination. After the decree, all three dimensions of market orientation affected company performance. Th...
This paper empirically compares the market timing, the stock selection and the performance persis... more This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis (locally, Arab, internationally) and Sharia compliance (Islamic and conventional). The empirical results indicate that Islamic funds underperformed conventional funds internationally but not locally. Findings suggest that the market selectivity skills of managers in the Islamic funds are better than the conventional funds. In addition, only the managers of Saudi conventional funds investing internationally have a good market timing skills, thus, they are able to beat the market index by predicting its movements and buying and selling accordingly. Furthermore, this study gives a brief idea about the performance persistence of HSBC Saudi funds. The results confirm existence of the persistence performance when the funds do not apply Sharia law and when they are instead focused internationally.
International Journal of Multidisciplinary and Current Educational Research (IJMCER), 2021
This paper investigates the Tunisian mutual funds herding behavior under different market conditi... more This paper investigates the Tunisian mutual funds herding behavior under different market conditions, by using the cross-sectional standard deviation (CSSD) model, cross-sectional absolute deviation (CSAD) model and the Quantile Regression approach. We test for the existence of herding for the whole period, as well as for the pre-and post-Tunisian uprising period. For the whole period, we find evidence of herding behavior based on the CSAD model only in down market conditions. Although, by considering for Tunisian 2011 uprising, this analysis report that when we applying CSSD and CSAD approach in different market conditions, there exist no evidence of herding neither before nor after uprising. We find that the mutual funds did not change their behavior following political and social events. Finally, by applying quantile regression analysis, we find evidence of herding behavior in high and low quantiles, under only down market. Conversely, during upper market, we show an absence of herding behavior in all different quantiles. When the market is down, managers afraid of uncertainty, neglecting their own information, avoid to act independently and follow other mutual funds. When the market is up, managers become rational, and act independently.
This paper aims first at determining the different macroeconomic factors that explain the variabi... more This paper aims first at determining the different macroeconomic factors that explain the variability of Tunisian mutual funds (UCITS) returns in the period of 2006-2016. Second, the paper tries to determine the effect of the Tunisian revolution on the relationship between the studied macroeconomic factors and returns of these investment funds. To this end, we will compare the impact of these variables on returns during the pre-and post-revolution period. The results show that all the macroeconomic factors significantly explain the variation of Tunisian UCITS funds returns. Moreover, the results reveal that the revolution has a significant impact on the relationship between our macroeconomic factors and returns. We also found that the impact of macroeconomic variables on UCITS funds returns, before and after 2011, is not the same. These findings may bear on the political, security, social, and economic instability that has been observed in Tunisia since 2011 and which has significantly influenced the studied macroeconomic factors.
The aim of this paper is twofold. First, it proposes to determine the irrational behavior of Unde... more The aim of this paper is twofold. First, it proposes to determine the irrational behavior of Undertakings for Collective Investment in Transferable Securities (UCITS henceforth) by looking into psychological biases. Second, it proposes to study the impact of these psychological biases on the performance of Tunisian UCITS during the February 2005 to December 2015 period. To this end, we used two methods; qualitative and quantitative methods. Through a questionnaire, the results indicate that 35% of the managers of UCITS in Tunisia are not rational. Their decision-making is often influenced by the following biases: herding, fear, heuristics and anchoring. The results also indicate that this irrational behavior did not significantly change after the Tunisian revolution. Accordingly, in order to measure the effect of these biases on performance, we developed a composite model that groups together the studied psychological biases. We found that despite the moderate presence of these psychological biases, they tend to explain the performance of Tunisian UCITS, only before the revolution. Some of these biases, like regret aversion, positively affect performance. Other biases, like herding, anchoring, disposition effect and loss aversion, negatively affect UCITS performance. Abstract-The aim of this paper is twofold. First, it proposes to determine the irrational behavior of Undertakings for Collective Investment in Transferable Securities (UCITS henceforth) by looking into psychological biases. Second, it proposes to study the impact of these psychological biases on the performance of Tunisian UCITS during the February 2005 to December 2015 period. To this end, we used two methods; qualitative and quantitative methods. Through a questionnaire, the results indicate that 35% of the managers of UCITS in Tunisia are not rational. Their decision-making is often influenced by the following biases: herding, fear, heuristics and anchoring. The results also indicate that this irrational behavior did not significantly change after the Tunisian revolution. Accordingly, in order to measure the effect of these biases on performance, we developed a composite model that groups together the studied psychological biases. We found that despite the moderate presence of these psychological biases, they tend to explain the performance of Tunisian UCITS, only before the revolution. Some of these biases, like regret aversion, positively affect performance. Other biases, like herding, anchoring, disposition effect and loss aversion, negatively affect UCITS performance.
The aim of this paper is twofold. First, it proposes to determine the irrational behavior of Unde... more The aim of this paper is twofold. First, it proposes to determine the irrational behavior of Undertakings for Collective Investment in Transferable Securities (UCITS henceforth) by looking into psychological biases. Second, it proposes to study the impact of these psychological biases on the performance of Tunisian UCITS during the February 2005 to December 2015 period. To this end, we used two methods; qualitative and quantitative methods. Through a questionnaire, the results indicate that 35% of the managers of UCITS in Tunisia are not rational. Their decision-making is often influenced by the following biases: herding, fear, heuristics and anchoring. The results also indicate that this irrational behavior did not significantly change after the Tunisian revolution. Accordingly, in order to measure the effect of these biases on performance, we developed a composite model that groups together the studied psychological biases. We found that despite the moderate presence of these psyc...
This paper empirically compares the market timing, the stock selection and the performance persis... more This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis (locally, Arab, internationally) and Sharia compliance (Islamic and conventional). The empirical results indicate that Islamic funds underperformed conventional funds internationally but not locally. Findings suggest that the market selectivity skills of managers in the Islamic funds are better than the conventional funds. In addition, only the managers of Saudi conventional funds investing internationally have a good market timing skills, thus, they are able to beat the market index by predicting its movements and buying and selling accordingly. Furthermore, this study gives a brief idea about the performance persistence of HSBC Saudi funds. The results confirm existence of the persistence pe...
International Journal of ADVANCED AND APPLIED SCIENCES
This paper investigated whether the royal decree of September 2017 allowing women to drive affect... more This paper investigated whether the royal decree of September 2017 allowing women to drive affects the relationship between market orientation and firm performance of official car dealerships in Saudi Arabia. In the empirical investigation, a quantitative method was used, focusing on car dealership managers and executives. The hypotheses were tested using structural equation modelling with data collected from 94 questioned. Market orientation dimensions that were investigated included customer orientation, competitor orientation, and inter-functional coordination. The results indicate a positive effect of market orientation on company performance in Saudi Arabia over two periods, before and after the application of the decree. Before the royal decree, only two of the three dimensions of market orientation affected company performance, customer orientation, and inter-functional coordination. After the decree, all three dimensions of market orientation affected company performance. Th...
This paper empirically compares the market timing, the stock selection and the performance persis... more This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis (locally, Arab, internationally) and Sharia compliance (Islamic and conventional). The empirical results indicate that Islamic funds underperformed conventional funds internationally but not locally. Findings suggest that the market selectivity skills of managers in the Islamic funds are better than the conventional funds. In addition, only the managers of Saudi conventional funds investing internationally have a good market timing skills, thus, they are able to beat the market index by predicting its movements and buying and selling accordingly. Furthermore, this study gives a brief idea about the performance persistence of HSBC Saudi funds. The results confirm existence of the persistence performance when the funds do not apply Sharia law and when they are instead focused internationally.
International Journal of Multidisciplinary and Current Educational Research (IJMCER), 2021
This paper investigates the Tunisian mutual funds herding behavior under different market conditi... more This paper investigates the Tunisian mutual funds herding behavior under different market conditions, by using the cross-sectional standard deviation (CSSD) model, cross-sectional absolute deviation (CSAD) model and the Quantile Regression approach. We test for the existence of herding for the whole period, as well as for the pre-and post-Tunisian uprising period. For the whole period, we find evidence of herding behavior based on the CSAD model only in down market conditions. Although, by considering for Tunisian 2011 uprising, this analysis report that when we applying CSSD and CSAD approach in different market conditions, there exist no evidence of herding neither before nor after uprising. We find that the mutual funds did not change their behavior following political and social events. Finally, by applying quantile regression analysis, we find evidence of herding behavior in high and low quantiles, under only down market. Conversely, during upper market, we show an absence of herding behavior in all different quantiles. When the market is down, managers afraid of uncertainty, neglecting their own information, avoid to act independently and follow other mutual funds. When the market is up, managers become rational, and act independently.
This paper aims first at determining the different macroeconomic factors that explain the variabi... more This paper aims first at determining the different macroeconomic factors that explain the variability of Tunisian mutual funds (UCITS) returns in the period of 2006-2016. Second, the paper tries to determine the effect of the Tunisian revolution on the relationship between the studied macroeconomic factors and returns of these investment funds. To this end, we will compare the impact of these variables on returns during the pre-and post-revolution period. The results show that all the macroeconomic factors significantly explain the variation of Tunisian UCITS funds returns. Moreover, the results reveal that the revolution has a significant impact on the relationship between our macroeconomic factors and returns. We also found that the impact of macroeconomic variables on UCITS funds returns, before and after 2011, is not the same. These findings may bear on the political, security, social, and economic instability that has been observed in Tunisia since 2011 and which has significantly influenced the studied macroeconomic factors.
The aim of this paper is twofold. First, it proposes to determine the irrational behavior of Unde... more The aim of this paper is twofold. First, it proposes to determine the irrational behavior of Undertakings for Collective Investment in Transferable Securities (UCITS henceforth) by looking into psychological biases. Second, it proposes to study the impact of these psychological biases on the performance of Tunisian UCITS during the February 2005 to December 2015 period. To this end, we used two methods; qualitative and quantitative methods. Through a questionnaire, the results indicate that 35% of the managers of UCITS in Tunisia are not rational. Their decision-making is often influenced by the following biases: herding, fear, heuristics and anchoring. The results also indicate that this irrational behavior did not significantly change after the Tunisian revolution. Accordingly, in order to measure the effect of these biases on performance, we developed a composite model that groups together the studied psychological biases. We found that despite the moderate presence of these psychological biases, they tend to explain the performance of Tunisian UCITS, only before the revolution. Some of these biases, like regret aversion, positively affect performance. Other biases, like herding, anchoring, disposition effect and loss aversion, negatively affect UCITS performance. Abstract-The aim of this paper is twofold. First, it proposes to determine the irrational behavior of Undertakings for Collective Investment in Transferable Securities (UCITS henceforth) by looking into psychological biases. Second, it proposes to study the impact of these psychological biases on the performance of Tunisian UCITS during the February 2005 to December 2015 period. To this end, we used two methods; qualitative and quantitative methods. Through a questionnaire, the results indicate that 35% of the managers of UCITS in Tunisia are not rational. Their decision-making is often influenced by the following biases: herding, fear, heuristics and anchoring. The results also indicate that this irrational behavior did not significantly change after the Tunisian revolution. Accordingly, in order to measure the effect of these biases on performance, we developed a composite model that groups together the studied psychological biases. We found that despite the moderate presence of these psychological biases, they tend to explain the performance of Tunisian UCITS, only before the revolution. Some of these biases, like regret aversion, positively affect performance. Other biases, like herding, anchoring, disposition effect and loss aversion, negatively affect UCITS performance.
Uploads
Papers by Marwa Zouaoui