Browsing by Topic Islamic capital markets::Islamic equity market

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Showing results 8 to 14 of 14
  • heads_we_win_tails_you_lose_is_there_equity_in_Islamic_equity_funds_obiya.pdf.jpg
  • Journal Article

  • Heads we win, tails you lose: is there equity in Islamic equity funds?

    • 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.
  • Issues_in_Islamic_equities_mansur_et_al.pdf.jpg
  • Journal Article

  • Issues in Islamic equities: a literature survey

    • 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...
  • item.jpg
  • PhD

  • Risk-return profiles of Shariah compliant equity and commodity portfolio

    • Authors: Kabir, Sarkar Humayun (2013)

  • Since the recent financial crises, increases in contagion and correlation between assets have reduced the possibility of minimizing risk by way of diversification. The investors are therefore, looking for alternative assets such as, commodities, Islamic portfolios, etc. However, despite the very rapid growth of Islamic finance, there has hardly been any rigorous empirical research investigating the risk-return profiles of combining commodity portfolios with Islamic equities and/or with the mainstream equities. This study is aimed at filling this gap in the finance literature ...
  • item.jpg
  • Master

  • The role of gold as a hedge and safe haven in Shariah-compliant equities: a comparative study on emerging and developing markets

    • Authors: Shakil, Mohammad Hassan (2016)

  • The paper evaluates the role of gold as a hedge and safe haven by using daily data ranging from January 1996 to September 2016 for gold and Shariah-compliant equities of developed and emerging market index to bestow the status of a hedge at the time of normal market condition and safe haven asset at the time of financial downturns. We applied wavelet coherence technique to ascertain the best time-frequency for gold as a hedge and MGARCH-DCC to find out the reaction of gold to unfavorable market conditions ...
  • Unveiling_the_diversification_benefits_of_Islamic_equities_and_commodities_mansur.pdf.jpg
  • Journal Article

  • Unveiling the diversification benefits of Islamic equities and commodities: evidence from multivariate-GARCH and continuous wavelet analysis

    • Authors: Prima Sakti, Muhammad Rizky; Mohammed Masih, Abul Mansur; Saiti, Buerhan; Tareq, Mohammad Ali (2018)

  • The purpose of this paper is to examine the extent to which the Indonesian Shariah compliant investors can benefit from the portfolio diversification with the Islamic indices of its trading partners and selected commodities such as gold, crude oil, and cocoa. The findings tend to indicate that investors with exposure in Shariah compliant indices of Indonesia and wanting to gain more diversification benefits should invest either in the USA or India Islamic equity. Instead, the greater benefits will be obtained by Shariah compliant investors if they invest in the USA Islamic indices during long-term investment horizons. If investors want to invest in medium investment horizons, investin...
  • PhD_which_creates_more_value_investors_equity_funds_Choudary Wajahat.pdf.jpg
  • PhD

  • Which creates more value for investors in equity funds: being socially responsible or Shariah compliant?

    • Authors: Naeem Azmi, Choudhary Wajahat (2016)

  • This thesis is structured into three essays. The first essay provides evidence on the comparative risk-return profile and investment style of SCFs and the SRFs. As the long list of literature claims the superiority of these funds during the crisis period, the validity of this claim is also examined using a larger sample and a longer analysis period. The findings of this research can be summarized as follows; first, both types of funds underperform the market suggesting there is cost attached to ethical and religious based investment but SCFs, to some extent, manage to do better than the SRFs. Second, in terms of investment style, SRFs investments are biased towards small capitalized s...

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Browsing by Topic Islamic capital markets::Islamic equity market

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 8 to 14 of 14
  • heads_we_win_tails_you_lose_is_there_equity_in_Islamic_equity_funds_obiya.pdf.jpg
  • Journal Article

  • Heads we win, tails you lose: is there equity in Islamic equity funds?

    • 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.
  • Issues_in_Islamic_equities_mansur_et_al.pdf.jpg
  • Journal Article

  • Issues in Islamic equities: a literature survey

    • 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...
  • item.jpg
  • PhD

  • Risk-return profiles of Shariah compliant equity and commodity portfolio

    • Authors: Kabir, Sarkar Humayun (2013)

  • Since the recent financial crises, increases in contagion and correlation between assets have reduced the possibility of minimizing risk by way of diversification. The investors are therefore, looking for alternative assets such as, commodities, Islamic portfolios, etc. However, despite the very rapid growth of Islamic finance, there has hardly been any rigorous empirical research investigating the risk-return profiles of combining commodity portfolios with Islamic equities and/or with the mainstream equities. This study is aimed at filling this gap in the finance literature ...
  • item.jpg
  • Master

  • The role of gold as a hedge and safe haven in Shariah-compliant equities: a comparative study on emerging and developing markets

    • Authors: Shakil, Mohammad Hassan (2016)

  • The paper evaluates the role of gold as a hedge and safe haven by using daily data ranging from January 1996 to September 2016 for gold and Shariah-compliant equities of developed and emerging market index to bestow the status of a hedge at the time of normal market condition and safe haven asset at the time of financial downturns. We applied wavelet coherence technique to ascertain the best time-frequency for gold as a hedge and MGARCH-DCC to find out the reaction of gold to unfavorable market conditions ...
  • Unveiling_the_diversification_benefits_of_Islamic_equities_and_commodities_mansur.pdf.jpg
  • Journal Article

  • Unveiling the diversification benefits of Islamic equities and commodities: evidence from multivariate-GARCH and continuous wavelet analysis

    • Authors: Prima Sakti, Muhammad Rizky; Mohammed Masih, Abul Mansur; Saiti, Buerhan; Tareq, Mohammad Ali (2018)

  • The purpose of this paper is to examine the extent to which the Indonesian Shariah compliant investors can benefit from the portfolio diversification with the Islamic indices of its trading partners and selected commodities such as gold, crude oil, and cocoa. The findings tend to indicate that investors with exposure in Shariah compliant indices of Indonesia and wanting to gain more diversification benefits should invest either in the USA or India Islamic equity. Instead, the greater benefits will be obtained by Shariah compliant investors if they invest in the USA Islamic indices during long-term investment horizons. If investors want to invest in medium investment horizons, investin...
  • PhD_which_creates_more_value_investors_equity_funds_Choudary Wajahat.pdf.jpg
  • PhD

  • Which creates more value for investors in equity funds: being socially responsible or Shariah compliant?

    • Authors: Naeem Azmi, Choudhary Wajahat (2016)

  • This thesis is structured into three essays. The first essay provides evidence on the comparative risk-return profile and investment style of SCFs and the SRFs. As the long list of literature claims the superiority of these funds during the crisis period, the validity of this claim is also examined using a larger sample and a longer analysis period. The findings of this research can be summarized as follows; first, both types of funds underperform the market suggesting there is cost attached to ethical and religious based investment but SCFs, to some extent, manage to do better than the SRFs. Second, in terms of investment style, SRFs investments are biased towards small capitalized s...