This study is first in its nature, which seeks to analyze the impact of the quality of corporate governance on the downside risk exposure of mutual funds. In this study, we used a sample of 100 conventional and 85 Islamic funds that prevail in Pakistan. We used panel data fixed effect regression model for analysis. Furthermore, we also used a dynamic panel model to analyze the persistence in the downside risk and to address the endogeneity concern and thus estimated the results using the GMM technique. The results showed that higher governance quality reduces the downside risk of both Islamic and conventional mutual funds. These results are in line with the prediction of agency theory. These findings provide input to asset management firms as to how these firms can reduce the downside risk of underlying funds by improving the quality of corporate governance.

本研究首先在其性质上寻求分析公司治理质量对共同基金下行风险敞口的影响。在这项研究中，我们使用了在巴基斯坦盛行的 100 个传统基金和 85 个伊斯兰基金的样本。我们使用面板数据固定效应回归模型进行分析。此外，我们还使用动态面板模型来分析下行风险的持续性并解决内生性问题，从而使用 GMM 技术估计结果。结果表明，更高的治理质量降低了伊斯兰和传统共同基金的下行风险。这些结果符合代理理论的预测。