Baehaki Hazami, Endri | http://devotion.greenvest.co.id

DETERMINANTS OF NET ASSET VALUE OF SHARIA EQUITY

MUTUAL FUNDS IN INDONESIA

Baehaki Hazami

, Endri

1,2

Universitas Mercu Buana, Indonesia

Email: by.hazami@gmail.com, endri@mercubuana.ac.id

KEYWORDS

Determinant, Sharia

Equity Mutual Funds,

NAV

ABSTRACT

The value of net assets (NAV) per unit reflects the price of a mutual fund and also

the yield of the mutual fund, therefore, the objective of this study is to examine the

impact of external and internal factors on NAV per unit of sharia equity mutual

funds. These factors are inflation, exchange rate, Jakarta composite indec (JCI),

stock selection skill and market timing ability on the net asset value of sharia equity

mutual funds in Indonesia. The research period from 2017-2022 with data per

semester, to see the overall influence of these factors before Covid-19 and during

Covid-19. Data processing uses Eviews 12. The method used is the Random Effect

Model (REM) with the analysis model using Generalized Least Square (GLS). The

results of this research state that over all the inflation has no effect. The exchange

rate has a significantly negative effect. The JCI has no effect, Stock selection skill

has a significant positive effect. Market timing ability had a significant positive

effect. Differences in results in a period are due to changes in economic conditions

in Indonesia.

INTRODUCTION

The origin of Sharia mutual funds in Indonesia can be traced back to the introduction of

these funds by PT Danareksa Investment Management on July 3, 1997. Additionally, the

collaboration between the Indonesia Stock Exchange and PT Danareksa Investment

Management resulted in the creation of the Jakarta Islamic Index on July 3, 2000. This index

was designed to guide investors interested in directing their funds towards Sharia principles

(Ardhani, Effendi, & Irfany, 2020). The National Sharia Council of the Indonesian Ulema

Council (DSN-MUI) issued a fatwa specifically addressing Sharia mutual funds, denoted as

Fatwa No. 20 / DSN-MUI / IV / 2001, outlining the Investment Implementation Guidelines for

Sharia Mutual Funds. This fatwa articulates that Sharia Mutual Funds are investment vehicles

operating in accordance with the stipulations and principles of Islamic Shari'ah. This

encompasses agreements amongst investors, assuming the role of property proprietors (sahib

al-mal / Rabb al Mal), and portfolio managers who serve in the capacity of representatives of

sahib al-mal. Additionally, it covers agreements between Investment Managers in their

capacity as representatives of sahib al-mal and the users of the investments.

As per Regulation Number 33/POJK.04/2019 (POJK), Sharia mutual funds are defined

as mutual funds governed by the Capital Market Law and its accompanying regulations. The

management of these funds is required to align with Sharia principles within the capital market.

Distinctions between conventional and Islamic mutual funds, as reported by bisnis.tempo.co.id

on June 2, 2022, can be delineated in the table provided below:

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e-ISSN: 2797-6068 and p-ISSN: 2777-0915

[ Determinants of Net Asset Value of Sharia Equity Mutual Funds

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Table. 1 Differences between Conventional Mutual Funds and Sharia Mutual Funds

Information

Conventional mutual

funds

Sharia Mutual Funds

Management principles

Managed based on the

principle of collective

investment contracts and

only supervised by OJK

Based on Islamic Shariah

principles and supervised by

the sharia supervisory

council with OJK

Profit sharing

Based on interest rate

developments

Based on the rules of Islamic

Sharia and mutual agreement

Investment portfolio

securities

All effects are allowed

Securities included in the list

of sharia securities (DES)

Akad or binding

Agreement without halal or

non-halal rules

Covers the cooperation

binding (musyarakah), rental

binding (ijarah) and revenue

binding (mudharabah)

Cleaning process

None

Separation between the

Company's halal and non-

halal revenues

Source: https://bisnis.tempo.co/id (2022, 2 Juni)

The distinction between Islamic and conventional mutual funds is also evident in the

Net Asset Value (NAV) growth of these funds. The subsequent depiction illustrates the

trajectory of NAV development for Sharia and conventional mutual funds:

Figure 1 NAB Development of Conventional &; Sharia Mutual Funds

Source: Financial Services Authority (2022)

Looking at figure 1 above, the NAV of sharia mutual funds continues to increase until

2020, even in 2019 it experienced a significant increase of 55.89% from 2018 and 38.40% in

2020. However, in 2021, the NAV of sharia mutual funds continued to experience a significant

decline of 40.83% from 2020 and in 2022 only decreased by 2.80%. This is in contrast to

conventional mutual funds where in 2019 only increased by 3.73% and by 2.19% in 2020, but

in 2021 conventional mutual funds still rose by 7.06% but in 2022 again decreased by 13.13%.

Sharia mutual funds as an investment instrument in Indonesia experienced positive

developments in the period 2012 to 2017 (Robiyanto, Santoso, & Ernayani, 2019).

The yield of the mutual fund is denoted by the Net Asset Value (NAV) per unit. The

NAV price per unit changes every day which reflects the results of fund management, NAV

pricing is determined every day by the Investment Manager (OJK, 2019). Likewise, with sharia

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equity mutual funds that have high returns and high risk, the public sees the effectiveness of

these mutual funds from the development of NAV per unit. The following is the development

of NAV per unit of sharia equity mutual funds.

Figure 2 Development of NAV of Sharia Equity Mutual Fund unit

Source: Processed Secondary Data (2023)

The chart illustrates a significant decrease in the NAV per unit of Sharia equity mutual

funds from 2017 to 2020. However, there is a subsequent rise from 2021 to 2022, albeit not

notably so. The development of NAV of equity mutual funds also fluctuates because it is

influenced by external and internal factors. According to (Donovan, Maherali, Caruso, Huber,

&; de Kroon, 2011), many factors support good investment conditions, including political

circumstances, regulatory measures, law enforcement, international trade matters,

infrastructure, and macroeconomic elements. Liquidity does not impact the performance of

mutual funds, but increases in gross domestic product (GDP), inflation, interest rates, and

money supply (M2) can adversely affect mutual fund returns (Thapa Gharti &; Lamsal, 2023).

Investors select mutual fund schemes by evaluating their performance and assessing various aspects of

the schemes. Furthermore, factors such as the quality of fund management and corporate governance

are deemed significant (Shrestha & Shrestha, 2020). While the outstanding performance of Sharia

mutual funds thus far doesn't guarantee a secure position, even minor economic shifts can directly

impact the Net Asset Value (NAV) of these funds (Nafisah & Supriyono, 2020).

The global pandemic of Coronavirus Disease 2019 (Covid-19) and began to enter

Indonesia in 2020 greatly affected economic conditions in Indonesia where social restrictions

or lockdown policies made people's activities in the economy decline. Economic instability

resulting from the Covid-19 pandemic has caused high market volatility, including the stock

and bond markets and also several companies affected by the pandemic are experiencing

financial difficulties. This aligns with the findings of the conducted research by Endri et al.,

2021 indicating that the prices of stocks have experienced a significant decline due to the

impact of Covid-19 and prompted investors to promptly divest their shares, leading to negative

abnormal returns. Likewise with stock sharia mutual funds which are also affected by the

Covid-19 pandemic, this is according to the investigation carried out by Nofrianto & Yutegi,

2022 In measuring mutual fund performance, evident in the progression of Net Asset Value

(NAV) per unit.

External factors that are purported to influence the Net Asset Value (NAV) of Islamic

equity mutual funds include indicators of inflation. Inflation refers to the continuous increase

in prices (Murni, 2013). It also plays a significant role in shaping the mobilization of funds

through formal financial institutions. The price level represents an opportunity cost for the

community in retaining financial assets. A higher change in the price level corresponds to a

greater opportunity cost of holding financial assets, implying that individuals might find it more

advantageous to possess assets in tangible form compared to financial assets if the price level

[ Determinants of Net Asset Value of Sharia Equity Mutual Funds

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remains elevated (Endri, 2008). In a country affected by inflation, the real value of people's

income is eroded. As the real value of income diminishes due to inflation, individuals tend to

prioritize essential needs such as housing, clothing, and food. Consequently, the community

may decrease the value of their investments, which can impact the net asset value of both Sharia

and conventional mutual funds. To summarize, when the prices of goods rise and essential

items become more expensive, individuals are inclined to reduce their investments in Islamic

mutual funds. This is attributed to the escalating need for more money to fulfill basic

requirements and consumption (Prabowo & Diana, 2021).

Another external element to take into account is the exchange rate, which represents the

domestic cost of foreign currency. An increase in the exchange rate is known as depreciation,

indicating a decrease in the value of the domestic currency compared to a foreign currency.

Conversely, a decrease in the exchange rate is termed appreciation, signifying an augmentation

in the value of the domestic currency relative to a foreign currency (Siamat, 2005: 86). As per

Sukirno (2013: 397), the exchange rate (foreign exchange) signifies the amount of domestic

currency needed, specifically the quantity of rupiah required to obtain one unit of foreign

currency. Exchange rate policies significantly impact the transactional activities of companies,

particularly those dependent on imports and oriented toward foreign markets. This is because

the exchange rate's magnitude affects the prices of traded goods and influences investment

levels. A stable exchange rate tends to decrease, which can positively impact the development

of Islamic mutual funds. Conversely, an increase in the exchange rate can result in a decline in

the performance of stock funds (Shitemi, Maingi, & Egessa, 2023). In summary, when the

value of the domestic currency diminishes, it leads to a rise in the prices of goods, causing a

reduction in investment. This, in turn, affects companies in servicing foreign debt and also

impacts production costs. Consequently, the Net Asset Value (NAV) of Sharia equity mutual

funds will decrease (Sulsitiyowati, Tamara, & Barnas, 2022).

Composite Stock Price Index or commonly referred to as JCI. JCI is an index number

from stock prices that has been compiled or calculated to produce trends, where the figure has

been processed in such a way that it can be used as a comparison from time to time (Jogiyanto,

2010). According to Zulbiadi (2018) JCI is an index of all stock prices traded on the IDX,

hence indicating the pattern of the mean value of all issuers in Indonesia. For investors,

fluctuations in JCI are interesting, because they are generally closely related to the value of the

existing portfolio. From a common-sense standpoint, the majority of stocks and portfolios in

any form typically follow the movement of the composite stock price index. This is because

the Composite Stock Price Index is utilized to gauge the performance of stocks listed on the

stock exchange overseen by the Indonesia Stock Exchange (IDX) and serves as a representation

of the share prices of listed companies. An increase in the Jakarta Composite Index (JCI)

implies that most, if not all, of the shares are experiencing an upward trend. Consequently,

Islamic stock mutual funds operating in the same market as JCI also see an increase when JCI

rises (Mochlasin, Anwar, Sita Salsabila, & Ali Faisal, 2023).

In addition to external factors, NAV per unit of Islamic mutual funds is also affected by

internal factors, one of which is the stock selection skill , the skill of investment managers in

choosing stocks or securities to be included in an investment portfolio in hopes of achieving

better results than the market as a whole. This ability is an important aspect of investment

management skills, especially for fund managers or investors who manage stock portfolios.

Stock selection skill is the ability to forecast or predict those assets that may produce abnormal

profits or profits that are superior to those expected in the future (Lailiyah & Setiawan, 2020).

Enhanced proficiency in selecting stocks by investment managers will contribute to the growth

in returns for the Islamic stock mutual funds under their management. Consequently, this will

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lead to an improvement in the overall performance of Islamic stock mutual funds (Adelia &

Ryandono, 2020).

The skill of investment managers influencing the Net Asset Value (NAV) per unit is

known as Market Timing Ability. This pertains to the capacity of investment managers to

effectively determine the opportune moments for entering (buying) or exiting (selling) the

financial market. It involves a comprehensive analysis of market trends, investor sentiment,

economic factors, and various other variables to make informed predictions regarding asset

price movements. Market timing ability entails an investment manager's skill in adjusting an

asset portfolio, incorporating buying and selling strategies, to anticipate changes or shifts in

general market prices (Setiawan & Wati, 2019). Funds exhibiting positive timing skills yield

higher returns compared to those with negative timing skills (Jiang et al., 2021).

Research investigating the factors influencing the Net Asset Value (NAV) per unit of

Islamic equity mutual funds has been conducted by Setiawan & Wati (2019). According to

their findings, inflation, exchange rates, mutual fund size, and stock selection skills impact the

performance of Sharia equity mutual funds. However, market timing ability does not affect the

performance of Sharia equity mutual funds in Indonesia. Another study conducted by Lailiyah

& Setiawan (2020) asserts that mutual fund size, stock selection skill, and market timing ability

do affect the performance of Sharia equity mutual funds.

Additional research by Nafisah & Supriyono (2020) suggests that inflation has a negative

effect, while the exchange rate has a positive effect on the NAV of Islamic mutual funds.

Conversely, research by Ardhani et al. (2020) contends that inflation has a positive effect, and

the exchange rate has no effect on the NAV of Sharia mutual funds.

Prabowo & Diana's study in 2021 proposes that the BI 7-day repo rate and JCI have no

effect, while inflation has a negative impact on the NAV of Islamic mutual funds. On the other

hand, Pratiwi's research in 2020 indicates that the BI 7-day repo rate and exchange rate

positively impact the NAV of Islamic mutual funds, while inflation has no effect.

Given the aforementioned insights, the author is motivated to conduct a study aimed at

acquiring knowledge related to the determinants of the net asset value of Islamic mutual funds,

particularly in the context of Islamic equity mutual funds. The data for this study spans from

2017 to 2022, strategically divided into three years (2017–2019) preceding the COVID-19

pandemic and three years (2020–2022) coinciding with the pandemic in Indonesia.

The objective of this research is to analyze the impact of inflation on the NAV of Sharia

Equity Mutual Funds in Indonesia, assess the influence of the Rupiah Exchange Rate on the

NAV of Sharia Equity Mutual Funds in Indonesia, examine the effect of JCI on the NAV of

Sharia Equity Mutual Funds in Indonesia, evaluate the impact of Stock Selection Skill on the

NAV of Sharia Equity Mutual Funds in Indonesia, and appraise the influence of Market Timing

Ability on the NAV of Sharia Equity Mutual Funds in Indonesia.

RESEARCH METHOD

The research conducted is quantitative research. The objectives of this study are to:

Provide objective understanding, test hypotheses, make generalizations, identify causal

relationships, and provide a solid basis for decision making in the field under study. According

to Sugiyono (2018), a causal relationship is a relationship that has a causal nature. Therefore,

this study will involve independent variables (factors that exert influence) and dependent

variables (outcomes that are influenced). Specifically, there are five independent variables in

this research consisting of, Inflation (INF), Exchange Rate (FOREX), Composite Stock Price

Index (JCI), Stock Selection Skill (SS) and Market Timing Ability (MT) as well as dependent

variables or dependent variables, namely the Net Asset Value (NAV) of Sharia Mutual Funds

which describes the price per unit of the mutual fund.

[ Determinants of Net Asset Value of Sharia Equity Mutual Funds

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The analysis technique used is a panel data linear regression analysis technique using

Eviews 12. Regression panel data according to Gujarati and Porter (2012; 237) is a regression

technique employed in this study is the panel data regression model, which integrates both time

series data and cross-sectional data. This results in a greater number of observations compared

to using cross-sectional data or time series data alone. The selection of the panel data regression

model is based on its several advantages.

RESULTS AND DISCUSSION

Based on the results of the analysis above, it can be concluded in the following table:

Table 2 The Results Of The Hypothesis Test Summary

Source: The results of data processing using Eviews 12 (2023)

The Effect of Inflation on the NAV of Sharia Equity Mutual Funds

Based on the outcomes of data processing through the Random Effects Model (REM)

panel data regression method, it was deduced that during the 2017-2022 timeframe, inflation

did not exert a significant impact on the Net Asset Value (NAV) of Sharia equity mutual funds.

This lack of significance is attributed to the government's maintenance of a stable inflation rate,

consistently kept between 1% and 10%, preventing a substantial increase in the prices of goods

while ensuring the stability of the community's income. These findings align with the research

conducted by Zulkarnain et al., 2022, and Azzahra & Arianti, 2021, both asserting that inflation

has no discernible effect on the Net Asset Value (NAV) of Sharia Mutual Funds due to the

expectation of a stable and normal inflation rate below 10%.

However, these results diverge from the findings of research conducted by Setiawan &

Wati, 2019, and Sumantyo & Savitri, 2019, which posit that inflation has a positive impact on

the NAV of Islamic mutual funds. This discrepancy is explained by their argument that the

controlled and relatively mild inflation rate contributes to increased people's income,

subsequently boosting investments.

The Effect of Rupiah Exchange Rate on the NAV of Sharia Equity Mutual Fund

Drawing conclusions from the data analysis employing the Random Effects Model

(REM) panel data regression method, it was determined that during the period of 2017-2022,

the Rupiah exchange rate exhibited a notable and negative impact on the Net Asset Value

(NAV). This indicates that a decrease in exchange rates or the appreciation of the Rupiah results

in an enhanced performance of equity mutual funds. This phenomenon can be attributed to the

fact that a significant portion of companies in Indonesia depend a lot on foreign commodities

(imports) so that production costs rise, the level of profit will decrease, and of course it will

Variable

Coefficient

Std, Error

t-Statistic

Prob,

30,35717

5,513854

5,505617

0,0000

8,941993

2,679706

3,336930

0,0011

INF

3,207283

2,344637

1,367923

0,1734

LN_FOREX

-3,474327

0,581378

-5,976017

0,0000

LN_IHSG

0,132032

0,290458

0,454564

0,6501

LN_SIZE

0,311475

0,034898

8,925326

0,0000

2,691974

0,870254

3,093320

0,0024

1,128444

0,520995

2,165939

0,0319

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reduce the value of the company's shares so that stock returns also decrease. This is in

accordance with what is done by Setiawan & Wati, 2019 and Ardhani et al., 2020 the research

asserts that the exchange rate has an adverse impact on the Net Asset Value (NAV) of Islamic

mutual funds. A strengthened Rupiah (falling exchange rate) is seen as indicative of favorable

macroeconomic conditions, encouraging public investment. Conversely, if the Rupiah weakens

(exchange rate rises), it leads to increased production costs, subsequently causing a decline in

the company's revenue.

This contradicts the findings of research by Mochlasin et al., 2023, and Zamzami, 2022,

which indicate that the exchange rate does not exert a substantial impact on the Net Asset Value

(NAV) of Sharia equity mutual funds. The rationale behind this is that Sharia-based stocks are

not entirely reliant on the dollar; hence, fluctuations in the value of the Rupiah do not influence

them significantly.

The Impact of the Jakarta Composite Index (JCI) on the NAV of Sharia Equity Mutual

Funds

Based on the outcomes of data analysis using the Random Effects Model (REM) panel

data regression method, it was determined that during the 2017-2022 period, the Jakarta

Composite Index (JCI) did not exert a significant impact on the Net Asset Value (NAV) of

Sharia equity mutual funds. This is attributed to the fact that the majority of stocks selected by

managers of Sharia equity mutual funds are those included in the Jakarta Islamic Index (JII) or

the Indonesian Sharia Equity Index (ISSI). This finding aligns with the research conducted by

Prabowo & Diana, 2021, which contends that JCI does not influence the NAV of Sharia mutual

funds. Investors tend not to consider fluctuations in JCI when making investment decisions in

Sharia mutual funds.

However, these results contrast with the findings of research conducted by Taufiq et al.,

2023, and Yudhanto & Mulya Sari, 2022, suggesting that JCI has a positive effect on the NAV

of Sharia equity mutual funds. This perspective is grounded in the notion that JCI serves as a

reflection of the capital market in Indonesia, implying that a rise in JCI corresponds to an

increase in capital market conditions and consequently boosts the stocks of Sharia mutual

funds.

The Impact of Stock Selection Skill on the NAV of Sharia Equity Mutual Funds

According to the outcomes of data analysis utilizing the Random Effects Model (REM)

panel data regression method, it was determined that during the period from 2017 to 2022, the

effectiveness in selecting stocks had a notable positive impact on the NAV. This is due to good

stock selection skills, the mutual fund stock portfolio can outperform the market or benchmark

used as a reference, and can also produce higher growth in investment value than if stock

selection is done without special skills.

This aligns with the findings of research conducted by Setiawan & Wati, 2019, and

Adelia & Ryandono, 2020, which assert that the proficiency in stock selection significantly and

positively impacts the performance of Islamic equity mutual funds. The argument is that when

an investment manager possesses the capability to choose the appropriate stocks for the

portfolio, it leads to higher returns and an overall improved performance of Islamic stock

mutual funds.

The Effect of Market Timing Ability on the NAV of Sharia Equity Mutual Funds

Conclusions drawn from the data analysis employing the Random Effects Model

(REM) panel data regression method indicate that, during the period from 2017 to 2022, market

timing ability demonstrated a positive and noteworthy impact on the NAV. If fund managers

[ Determinants of Net Asset Value of Sharia Equity Mutual Funds

in Indonesia]

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have good market timing skills, they can make the right decisions related to market conditions,

thereby increasing investment returns for Islamic equity mutual funds, and can also include

decisions to increase or decrease exposure to the stock market based on the analysis of market

movement forecasts. This corresponds with the findings of research by Lailiyah & Setiawan,

2020, and Rachmayanti et al., 2023, indicating that market timing ability has a meaningful

positive impact on the performance of Islamic equity mutual funds. The reasoning behind this

is that market timing ability plays a crucial role in determining the precision of policies related

to the purchase or sale of specific assets and securities. Therefore, if this ability is proficient, it

results in the creation of a well-performing asset portfolio.

CONCLUSION

The study's findings led to the conclusion that, in the overall period from 2017 to 2022,

inflation (INF) did not influence the Net Asset Value (NAV). Similarly, the research indicated

a notable negative impact of Foreign Exchange (FOREX) on NAV during the same period.

Moreover, it was found that the Jakarta Composite Index (JCI) had no effect on NAV in the

overall period from 2017 to 2022. On the positive side, the study demonstrated a significant

positive effect of Stock Selection (SS) on NAV in the overall period from 2017 to 2022.

Additionally, the research revealed that Market Timing (MT) had a significant positive effect

on NAV over the entire period from 2017 to 2022.

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PENANOMICS: International Journal of Economics, 1(2), 201–212.

https://doi.org/10.56107/penanomics.v1i2.28

Baehaki Hazami, Endri (2024)

First publication right:

Devotion - Journal of Research and Community Service

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