Browsing by Author Mustaffa Kamil, Nazrol Kamil

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Showing results 1 to 5 of 5
  • do_sin_stocks_deprive_islamic_stock_portfolio_diversification_some_insights_from_use_of_mgarch_dcc_mansur.pdf.jpg
  • Journal Article


  • Authors: Mustaffa Kamil, Nazrol Kamil; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2012)

  • There is this argument that Shari’ah compliant portfolios are at a disadvantage in terms of portfolio diversification given that the exclusion of ‘sin stocks’ shrinks the Islamic investor’s investment universe. This paper investigates first, whether there is empirical evidence to substantiate such a claim, and second, can something be done to alleviate this disadvantage. Our results show that there is statistical evidence that Islamic portfolios are deprived of some benefits of diversification, at the sector level. However, the empirical evidence does not permit us to generalise such a finding at the specific stock level. By analysing the temporal characteristics of correlations using...

  • item.jpg
  • PhD


  • Authors: Mustaffa Kamil, Nazrol Kamil (2014)

  • This dissertation discusses a number of issues in Islamic equity, which can be broadly defined as equity investments that meet certain Shari'ah compliance requirements. A particular stock is deemed as Shari'ah compliant when it "passes" a screening process which encapsulates a number of relevant Islamic principles, rules and tenets. This process, commonly termed Shari'ah stock screening, essentially involves the negative screening or filtering of stocks. While variations may exist from one jurisdiction to another, and between a number of different Islamic index providers ... Available in physical copy only (Call Number: t HG 4551 N336)

  • heads_we_win_tails_you_lose_is_there_equity_in_Islamic_equity_funds_obiya.pdf.jpg
  • Journal Article


  • Authors: Mustaffa Kamil, Nazrol Kamil; Alhabshi, Syed Othman; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2014)

  • We made the first estimate of the proportion of fund alpha statistically attributable to luck rather than skill for a sample of Malaysian Islamic equity funds. Broadly, the funds do not outperform market benchmarks. In the limited instances where performance is superior, based on a contemporary methodology, as much as 47% of the observed positive fund alpha is statistically attributable to luck. Thus, at 5% significance level, we find only 1.95% of our funds to be genuinely skilled. Our findings raise questions regarding the equitability of these funds levying fixed fees, making a case for potential innovation in fund remuneration structure.

  • chapter_4_islamic_banking_business_of_conventional_banks_Shamsher_Ziyaad_Nazrol.jpg.jpg
  • Chapter in Book


  • Authors: Ramadili Mohd, Shamsher Mohamad; Mahomed, Ziyaad; Mustaffa Kamil, Nazrol Kamil (2017)

  • Globally, Islamic banking grew by a compound annual growth rate of 17.3 percent between 2009 and 2014. The estimated size of the industry at the end of 2014 was given at US$2.1 trillion. This total follar value of assets held by the Islamic financial institutions is less than 2 percent of the conventional banking industry; nonetheless, this is a huge achievement, considering it started from a zero base in the 1970s (Ernst & Young, 2013). Through the rate of growth has declined in recent years, the industry has nevertheless managed to grow by more than 15 percent even during the 2009 global crisis, whereas the overall banking assets remained static and economic growth in almost all cou...

  • Issues_in_Islamic_equities_mansur_et_al.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Mustaffa Kamil, Nazrol Kamil; Bacha, Obiyathulla Ismath (2018)

  • This article reviews the current literature on Islamic equities. Our survey indicates that the bulk of articles is quantitative or empirical in nature, with a notable dearth of theoretical works. Among the common research themes explored by these articles are comparative performances of Islamic equities visa-vis their conventional counterparts, comparisons of Islamic portfolios with SRI funds, and empirically articulating portfolio diversification benefits associated with Islamic equities. In addition, numerous articles discuss idiosyncrasies of Shari'ah compliant stocks and portfolios under subthemes such as volatility, risk factors, and performance attributes. This survey also inclu...

Browsing by Author Mustaffa Kamil, Nazrol Kamil

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 1 to 5 of 5
  • do_sin_stocks_deprive_islamic_stock_portfolio_diversification_some_insights_from_use_of_mgarch_dcc_mansur.pdf.jpg
  • Journal Article


  • Authors: Mustaffa Kamil, Nazrol Kamil; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2012)

  • There is this argument that Shari’ah compliant portfolios are at a disadvantage in terms of portfolio diversification given that the exclusion of ‘sin stocks’ shrinks the Islamic investor’s investment universe. This paper investigates first, whether there is empirical evidence to substantiate such a claim, and second, can something be done to alleviate this disadvantage. Our results show that there is statistical evidence that Islamic portfolios are deprived of some benefits of diversification, at the sector level. However, the empirical evidence does not permit us to generalise such a finding at the specific stock level. By analysing the temporal characteristics of correlations using...

  • item.jpg
  • PhD


  • Authors: Mustaffa Kamil, Nazrol Kamil (2014)

  • This dissertation discusses a number of issues in Islamic equity, which can be broadly defined as equity investments that meet certain Shari'ah compliance requirements. A particular stock is deemed as Shari'ah compliant when it "passes" a screening process which encapsulates a number of relevant Islamic principles, rules and tenets. This process, commonly termed Shari'ah stock screening, essentially involves the negative screening or filtering of stocks. While variations may exist from one jurisdiction to another, and between a number of different Islamic index providers ... Available in physical copy only (Call Number: t HG 4551 N336)

  • heads_we_win_tails_you_lose_is_there_equity_in_Islamic_equity_funds_obiya.pdf.jpg
  • Journal Article


  • Authors: Mustaffa Kamil, Nazrol Kamil; Alhabshi, Syed Othman; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2014)

  • We made the first estimate of the proportion of fund alpha statistically attributable to luck rather than skill for a sample of Malaysian Islamic equity funds. Broadly, the funds do not outperform market benchmarks. In the limited instances where performance is superior, based on a contemporary methodology, as much as 47% of the observed positive fund alpha is statistically attributable to luck. Thus, at 5% significance level, we find only 1.95% of our funds to be genuinely skilled. Our findings raise questions regarding the equitability of these funds levying fixed fees, making a case for potential innovation in fund remuneration structure.

  • chapter_4_islamic_banking_business_of_conventional_banks_Shamsher_Ziyaad_Nazrol.jpg.jpg
  • Chapter in Book


  • Authors: Ramadili Mohd, Shamsher Mohamad; Mahomed, Ziyaad; Mustaffa Kamil, Nazrol Kamil (2017)

  • Globally, Islamic banking grew by a compound annual growth rate of 17.3 percent between 2009 and 2014. The estimated size of the industry at the end of 2014 was given at US$2.1 trillion. This total follar value of assets held by the Islamic financial institutions is less than 2 percent of the conventional banking industry; nonetheless, this is a huge achievement, considering it started from a zero base in the 1970s (Ernst & Young, 2013). Through the rate of growth has declined in recent years, the industry has nevertheless managed to grow by more than 15 percent even during the 2009 global crisis, whereas the overall banking assets remained static and economic growth in almost all cou...

  • Issues_in_Islamic_equities_mansur_et_al.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Mustaffa Kamil, Nazrol Kamil; Bacha, Obiyathulla Ismath (2018)

  • This article reviews the current literature on Islamic equities. Our survey indicates that the bulk of articles is quantitative or empirical in nature, with a notable dearth of theoretical works. Among the common research themes explored by these articles are comparative performances of Islamic equities visa-vis their conventional counterparts, comparisons of Islamic portfolios with SRI funds, and empirically articulating portfolio diversification benefits associated with Islamic equities. In addition, numerous articles discuss idiosyncrasies of Shari'ah compliant stocks and portfolios under subthemes such as volatility, risk factors, and performance attributes. This survey also inclu...