Browsing by Topic Islamic capital markets::Shariah compliant foreign exchange markets

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Showing results 1 to 4 of 4
  • do_sin_stocks_deprive_islamic_stock_portfolio_diversification_some_insights_from_use_of_mgarch_dcc_mansur.pdf.jpg
  • Journal Article

  • Do ‘sin stocks’ deprive Islamic stock portfolios of diversification? Some insights from the use of MGARCH-DCC

    • 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 usin...
  • performance_islamic_conventional_exchange_traded_funds_malaysia_adam.pdf.jpg
  • Journal Article

  • Performance of Islamic and conventional exchange traded funds in Malaysia

    • Authors: Diaw, Abdou; Hassan, Salwana; Ng, Adam Boon Ka (2010)

  • ETFs have attracted many investors as one of the most innovative products of financial engineering. By virtue of the nascent nature of MyETF-DJIM Titan 25 and FBM 30ETF in Malaysia, comparative performance studies are essential during a financial crisis. MyETF is different from FBM 30ETF in terms of investment scope and Shariah governance structure. While MyETF has achieved its objective in tracking its index, FBM 30ETF has failed in this respect. Despite its higher total risk, MyETF performed better than its index. The same applies in the case of FBM 30ETF. Although MyETF has bigger net assets, economies of scale, and better diversification, the performances of the two funds are lack...
  • item.jpg
  • Journal Article

  • Test of arbitrage pricing theory on the Tehran stock exchange: the case of a Shariah-compliant close economy

    • Authors: Sabetfar, Pooya; Cheng, Fan Fah; Ramadili Mohd, Shamsher Mohamad; Amin Noordin, Bany Ariffin (2011)

  • This paper provides weak evidence in support for the application of Arbitrage Pricing Theory (APT) on the Iranian stock market in the Sharia is the sacred law of Islam faith.) based close economy. Tests conducted using the principal component analysis and canonical correlation model showed that at least one to three factors that can explain the cross-section of expected returns in this market. Financial and economical sanctions possibly explain the negative stock market returns which reflect the reaction of investors to the announcement of sanctions. Overall, the results suggest that there are four groups of macroeconomic variables in the test period that affect stock returns for the ...
  • what_factors_explain_stock_market_retardation_Islamic_countries_obiyathulla_mansur_ginanjar_aun.pdf.jpg
  • Journal Article

  • What factors explain stock market retardation in Islamic countries?

    • Authors: Dewandaru, Ginanjar; Rizvi, Syed Aun Raza; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2014)

  • Stock markets have been recognized in literature as a source of financial development and economic growth. Notwithstanding the recent trend of the stock market development in emerging countries, some argue that Islamic countries' stock exchanges are still infantile. The central aim of this research, therefore, is to investigate factors impeding stock market development (SMD) in Islamic countries. We explore a panel annual data of 11 main Islamic countries vis-à-vis the developed countries for the period of 1996–2011. The findings show that all of our concerned macroeconomic determinants play a major role in the developed countries. On the other hand, financial openness has substantial...

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Browsing by Topic Islamic capital markets::Shariah compliant foreign exchange markets

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 4 of 4
  • do_sin_stocks_deprive_islamic_stock_portfolio_diversification_some_insights_from_use_of_mgarch_dcc_mansur.pdf.jpg
  • Journal Article

  • Do ‘sin stocks’ deprive Islamic stock portfolios of diversification? Some insights from the use of MGARCH-DCC

    • 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 usin...
  • performance_islamic_conventional_exchange_traded_funds_malaysia_adam.pdf.jpg
  • Journal Article

  • Performance of Islamic and conventional exchange traded funds in Malaysia

    • Authors: Diaw, Abdou; Hassan, Salwana; Ng, Adam Boon Ka (2010)

  • ETFs have attracted many investors as one of the most innovative products of financial engineering. By virtue of the nascent nature of MyETF-DJIM Titan 25 and FBM 30ETF in Malaysia, comparative performance studies are essential during a financial crisis. MyETF is different from FBM 30ETF in terms of investment scope and Shariah governance structure. While MyETF has achieved its objective in tracking its index, FBM 30ETF has failed in this respect. Despite its higher total risk, MyETF performed better than its index. The same applies in the case of FBM 30ETF. Although MyETF has bigger net assets, economies of scale, and better diversification, the performances of the two funds are lack...
  • item.jpg
  • Journal Article

  • Test of arbitrage pricing theory on the Tehran stock exchange: the case of a Shariah-compliant close economy

    • Authors: Sabetfar, Pooya; Cheng, Fan Fah; Ramadili Mohd, Shamsher Mohamad; Amin Noordin, Bany Ariffin (2011)

  • This paper provides weak evidence in support for the application of Arbitrage Pricing Theory (APT) on the Iranian stock market in the Sharia is the sacred law of Islam faith.) based close economy. Tests conducted using the principal component analysis and canonical correlation model showed that at least one to three factors that can explain the cross-section of expected returns in this market. Financial and economical sanctions possibly explain the negative stock market returns which reflect the reaction of investors to the announcement of sanctions. Overall, the results suggest that there are four groups of macroeconomic variables in the test period that affect stock returns for the ...
  • what_factors_explain_stock_market_retardation_Islamic_countries_obiyathulla_mansur_ginanjar_aun.pdf.jpg
  • Journal Article

  • What factors explain stock market retardation in Islamic countries?

    • Authors: Dewandaru, Ginanjar; Rizvi, Syed Aun Raza; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2014)

  • Stock markets have been recognized in literature as a source of financial development and economic growth. Notwithstanding the recent trend of the stock market development in emerging countries, some argue that Islamic countries' stock exchanges are still infantile. The central aim of this research, therefore, is to investigate factors impeding stock market development (SMD) in Islamic countries. We explore a panel annual data of 11 main Islamic countries vis-à-vis the developed countries for the period of 1996–2011. The findings show that all of our concerned macroeconomic determinants play a major role in the developed countries. On the other hand, financial openness has substantial...