xvii TABLE OF CONTENT ABSTRACT ........................................................................................................... iii ABSTRAK ............................................................................................................. vi THE GUIDANCE FOR USING THE DISSERTATION ...................................... xi FOREWORD ........................................................................................................ xv TABLE OF CONTENT ...................................................................................... xvii LIST OF FIGURES ............................................................................................. xxi LIST OF TABLES ............................................................................................. xxiii LIST OF ABREVIATIONS AND SYMBOLS ................................................. xxiv Chapter I Introduction ......................................................................................... 1 I.1 Background ................................................................................................. 1 I.2 Research Questions ..................................................................................... 4 I.3 Research Objectives .................................................................................... 6 I.4 Key Assumptions and Research Limitations ............................................... 6 I.5 Novelty and Originality ............................................................................. 11 I.5.1 Theoretical Gap ................................................................................. 11 I.5.2 Methodology gap .............................................................................. 12 I.5.3 Population gap ................................................................................... 13 I.5.4 Policy Recommendation ................................................................... 13 I.5.5 Financial Investment Field ................................................................ 14 I.6 Term and Definition .................................................................................. 14 I.7 Writing Structure ....................................................................................... 15 Chapter II Literature Review .............................................................................. 17 xviii II.1 Introduction ........................................................................................... 17 II.2 Underlying Theories .............................................................................. 20 II.2.1 Index Funds Investment..................................................................... 20 II.2.2 Investment Decision Making ............................................................. 22 II.2.3 Model from System Perspective ........................................................ 26 II.3 Institutional Context .............................................................................. 27 II.3.1 Financial Literacy .............................................................................. 28 II.3.2 Investor Behaviour ............................................................................ 29 II.4 Research State of the Art ....................................................................... 31 II.4.1 Past Studies on Index Funds Performance ........................................ 31 II.4.2 Past Studies on Index Funds Fund Flow ........................................... 33 II.4.3 Past Studies on System Dynamics on Mutual Funds or Index Funds 34 II.4.4 Past Studies on Index Funds Impact on Corporate Governance and Financial Markets .......................................................................................... 34 II.4.5 Past Studies on Technology advancement in the Index Funds .......... 35 II.4.6 Proposed Research ............................................................................. 36 II.4.6.1 Proposed Model and Conceptual Frameworks .............................. 39 II.4.6.2 Proposed Proposition ..................................................................... 42 II.5 Chapter Summary .................................................................................. 44 Chapter III Research Methodology ...................................................................... 45 III.1 Introduction ........................................................................................... 45 III.2 Research Philosophies ........................................................................... 45 III.3 Reasoning Approach.............................................................................. 51 III.4 Data and Research Design .................................................................... 54 III.4.1 Research Strategies ........................................................................ 54 III.4.2 Research Choice ............................................................................ 58 III.4.3 Data Collection .............................................................................. 60 III.4.4 Data Analysis ................................................................................. 62 III.4.5 Time Horizons ............................................................................... 64 xix III.4.6 Variables and Causal Relationship Between Variables ................ 64 III.4.7 Reliability and Validation tests ..................................................... 67 III.4.8 Ethical Issues ................................................................................. 71 III.5 Chapter Summary ................................................................................. 72 Chapter IV Empirical Evidence and Index Fund Model.................................. 74 IV.1 Introduction ........................................................................................... 74 IV.2 Equity Fund Performance ..................................................................... 74 IV.2.1 Review of Literature ..................................................................... 76 IV.2.2 Methodology ................................................................................. 77 IV.2.3 Estimation Model .......................................................................... 78 IV.2.4 Abnormal Return (AR) ................................................................. 80 IV.2.5 Cumulative Abnormal Return (CAR) ........................................... 80 IV.2.6 Significance tests ........................................................................... 81 IV.2.7 Data and Event of Interest ............................................................. 82 IV.2.8 Mean Returns and Standard Deviations ........................................ 84 IV.2.9 Average Abnormal Returns (AARs) ............................................. 85 IV.2.10 Cumulative Average Abnormal Returns (CAARs)....................... 89 IV.2.11 Significance tests ........................................................................... 92 IV.2.12 Panel Regression ........................................................................... 94 IV.3 Value added of Equity Funds ................................................................ 96 IV.3.1 Literature Review .......................................................................... 98 IV.3.2 Research Methods ....................................................................... 101 IV.3.3 Data Samples and Benchmarks ................................................... 103 IV.3.4 Value-Added ............................................................................... 105 IV.3.5 Alpha and Beta ............................................................................ 109 IV.3.6 Alpha and Beta as Predictors for Value-added ........................... 112 IV.4 Index Fund Investment Model ............................................................. 116 IV.4.1 Index Fund Structure ................................................................... 117 IV.4.2 Test of model structure ............................................................... 125 IV.4.3 Index Fund Behavior ................................................................... 127 xx IV.4.4 Test of Model Behavior ............................................................... 128 IV.4.5 Policy Intervention ...................................................................... 131 IV.4.6 Test of Policy Implications .......................................................... 140 IV.4.7 Lessons-learned from International Regulatory Model ............... 141 IV.5 Chapter Summary ................................................................................ 142 Chapter V Extension of Fund Investment Model: Hajj Fund Management ..... 144 V.1 Introduction ......................................................................................... 144 V.2 Literature Review ................................................................................ 146 V.3 Methodology ........................................................................................ 149 V.4 Data Collection.................................................................................... 150 V.5 Pilgrim Waiting Time .......................................................................... 150 V.6 Hajj Fund ............................................................................................. 155 V.7 Cost of Organizing the Hajj Pilgrimage (BPIH) ................................. 157 V.8 Pilgrim Virtual Account....................................................................... 160 V.9 Maximize Investment Allocation .......................................................... 162 V.10 Increase Registration Fee .................................................................... 164 V.11 Chapter Summary ................................................................................ 167 Chapter VI Conclusions ................................................................................. 169 VI.1 Conclusions ......................................................................................... 169 VI.2 Recommendations and Future Research ............................................. 172 REFERENCES ....................................................................................................