A comparative study of ethical and conventional mutual funds using neural network forecasting. | [Science International • 2014]

Author(s):

1. Shafiq Ahmad: College of Business Administration, Al Yamamah University, Riyadh, Saudi Arabia;Department of Finance, King Abdulaziz University Saudi Arabia

2. M. Ishaq Bhatti: La Trobe Business School, La Trobe University, Melbourne, Australia

3. Khalid Al-Otaibi: College of Business Administration, Salman Bin Abdulaziz University, Al-Kharj, Saudi Arabia

Abstract:

Recently, Mansor and Bhatti (2011) used time series panel data to compare return performance of ethical based Islamic mutual funds (IMF) with conventional (CMF) counterpart. They found that ethical funds perform better during global financial crises (GFC) of 2007/2008. This paper uses the same data set to apply artificial neural networks model to forecast return performance on both IMF and CMF funds. It implies time delay neural network and compares its efficacy with other forecasting models in the existing literature. The new model‘s forecasting performance seems to perform better than its competitors. This finding helps the investors and fund managers to make future investment decisions under any predictive financial crises similar to GFC.

Page(s): 409-417

DOI: DOI not available

Published: Journal: Science International, Volume: 26, Issue: 1, Year: 2014

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