Browsing by Topic Islamic capital markets

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Showing results 31 to 40 of 160
  • item.jpg
  • PhD


  • Authors: Anwer, Zaheer (2017)

  • This study examines the impact of ethical and Shariah screenmg on idiosyncratic risk, performance and dividend policy decisions for US market for the period 2006-2015. A unique dataset is utilized to construct representative portfolios of Socially Responsible Investing (SRI), Shariah compliant investment and Market (proxy). The existing literature suggests that constraints on stock selection imposed by screening may limit investment universe and make faith based portfolios sub-optimal. Therefore, the investors who want to follow their religious or social beliefs need to incur cost of their values. Our results reveal that Shariah compliant investors are slightly disadvantaged in terms ...

  • Do_sukuk_credit_ratings_create_a_value_effect_mahmoud.pdf.jpg
  • Newsletter & Bulletin


  • Authors: AlHomsi, Mahmoud (2016)

  • The Islamic finance industry has shown an extraordinary accomplishment in the last decade. A major contributor to this success can be attributed to a significant increase in sukuk issuance: from US$ 1.172 million in 2001 to US$ 138 billion in 2013. Malaysia is the world's largest sukuk market with about US$ 430.579 billion of the total US$ 551.357 billion of domestic sukuk in the financial world, a whopping 78.09% of the total global domestic sukuk market. This significant development has necessitated the need for an effective credit rating mechanism for the Sukuk issuance. Credit rating has become an important instrument to assesses the creditworthiness of an issuer, most often base...

  • 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 usin...

  • Does_held_maturity_strategy_impede_effective_portfolio_diversification_Islamic_ bond_sukuk_portfolios_Najeeb_Obiyathulla.pdf.jpg
  • Journal Article


  • Authors: Najeeb, Syed Faiq; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2017)

  • There is a critical gap in literature in studying the portfolio diversification opportunities available to sukuk investors and evaluating these in the light of held-to-maturity strategies usually adopted by these investors. This paper has made an initial attempt to study the portfolio diversification strategies for sukuk portfolios across heterogeneous investment horizons. Our findings critically indicate that returns between local currency sukuk in different markets generally have low levels of correlations across different investor holding periods, thus enabling both short and long-run portfolio diversification benefits. However, in contrast, international currency sukuk issued in d...

  • does_low_leverage_minimize_impact_financial_shocks_Obiya et al.pdf.jpg
  • Journal Article


  • Authors: el Alaoui, AbdelKader Ouatik; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur; Asutay, Mehmet (2018)

  • This study embodies a preliminary endeavour at analysing the impact of leverage on portfolio behaviour, with specific reference to return and volatility, in the European stock markets, using the debt ratio as one of the important benchmarks for Islamic stock screening. Given the focus of Islamic stock screening on the debt ratio, we use data from 320 firms for eight European countries which were classified according to their level of debt and size. For this, the portfolio optimisation based Mean-Variance Efficient Frontier (MVEF), the Sharpe Ratio and the Capital Market Line (CML) were employed. Our findings tend to demonstrate that, under shocks, high leverage worsens the portfolio r...

  • item.jpg
  • Master


  • Authors: Nasir, Abdal (2015)

  • This paper examines the long run relationship between Vietnam stock market and her ASEAN partners like Malaysia, Singapore, Thailand, Indonesia and the Philippines. The paper uses the weekly data from July 2006 till February 2014 and run through an analyzed using time series techniques in order to test for cointegration of Vietnam stock market with ASEAN members. Eagle-Granger, Johansen-Jeselius (JJ), and Vector Error Correction Model (VECM) methods are used in analyzing data. The results obtained from JJ test find at most one cointegration among ASEAN members ... Available in physical copy only (Call Number: t HG 5740.8 A135)

  • doing_well_while_doing_good_the_case_of_islamic_and_sustainability_equity_investing_adam.pdf.jpg
  • Academic Presentation


  • Authors: Ng, Adam Boon Ka; Naeem Azmi, Choudhari Wajahat; Dewandaru, Ginanjar; Nagayev, Ruslan (2016)

  • Sustainability trends present risks and opportunities for companies and various stakeholders. Profits can be derived from doing good: Islamic sustainability equity in vesting offers competitive risk-return profiles at the levels of individual asset and portfolio of global assets particularly during economic expansion, equity bullish and subprime crisis periods. Islamic finance industry should proactively drive main stream sustainability investing.

  • item.jpg
  • Master


  • Authors: Quadri, Syed Adnan (2015)

  • This paper investigates the target capital structure adjustment by Malaysia and Singapore, with a view to determine whether they exhibit similar behaviour. Firms may temporarily diverge from their target capital structure but seek to return optimal capital structure when indications of crisis are seen as well as in the aftermath of a crisis. Firms which are not on their optimum capital structure face high detrimental costs for being in such a position ... Available in physical copy only (Call Number: t HG 4026 Q1)

  • empirical_evidence_risk_shifting_bonds_debt-based_sukuk_obiyathulla.pdf.jpg
  • Journal Article


  • Authors: Hamzah, Siti Raihana; Bacha, Obiyathulla Ismath; Mirakhor, Abbas; Abdul Kader Malim, Nurhafiza (2018)

  • The purpose of this paper is to examine the extent of risk shifting behavior in bonds and sukuk. The examination is significant, as economists and scholars identify risk shifting as the primary cause of the global financial crisis. Yet, the dangers of this debt-financing feature are largely ignored - one needs to only witness the record growth of global debt even after the global financial crisis. To identify the signs of risk shifting existence in the corporations, this paper compares each corporation's operating risk before and after issuing debt. Operating risk or risk of a firm's activities is measured using the volatility of the operating earnings or coefficient variation of earn...

Browsing by Topic Islamic capital 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 31 to 40 of 160
  • item.jpg
  • PhD


  • Authors: Anwer, Zaheer (2017)

  • This study examines the impact of ethical and Shariah screenmg on idiosyncratic risk, performance and dividend policy decisions for US market for the period 2006-2015. A unique dataset is utilized to construct representative portfolios of Socially Responsible Investing (SRI), Shariah compliant investment and Market (proxy). The existing literature suggests that constraints on stock selection imposed by screening may limit investment universe and make faith based portfolios sub-optimal. Therefore, the investors who want to follow their religious or social beliefs need to incur cost of their values. Our results reveal that Shariah compliant investors are slightly disadvantaged in terms ...

  • Do_sukuk_credit_ratings_create_a_value_effect_mahmoud.pdf.jpg
  • Newsletter & Bulletin


  • Authors: AlHomsi, Mahmoud (2016)

  • The Islamic finance industry has shown an extraordinary accomplishment in the last decade. A major contributor to this success can be attributed to a significant increase in sukuk issuance: from US$ 1.172 million in 2001 to US$ 138 billion in 2013. Malaysia is the world's largest sukuk market with about US$ 430.579 billion of the total US$ 551.357 billion of domestic sukuk in the financial world, a whopping 78.09% of the total global domestic sukuk market. This significant development has necessitated the need for an effective credit rating mechanism for the Sukuk issuance. Credit rating has become an important instrument to assesses the creditworthiness of an issuer, most often base...

  • 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 usin...

  • Does_held_maturity_strategy_impede_effective_portfolio_diversification_Islamic_ bond_sukuk_portfolios_Najeeb_Obiyathulla.pdf.jpg
  • Journal Article


  • Authors: Najeeb, Syed Faiq; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur (2017)

  • There is a critical gap in literature in studying the portfolio diversification opportunities available to sukuk investors and evaluating these in the light of held-to-maturity strategies usually adopted by these investors. This paper has made an initial attempt to study the portfolio diversification strategies for sukuk portfolios across heterogeneous investment horizons. Our findings critically indicate that returns between local currency sukuk in different markets generally have low levels of correlations across different investor holding periods, thus enabling both short and long-run portfolio diversification benefits. However, in contrast, international currency sukuk issued in d...

  • does_low_leverage_minimize_impact_financial_shocks_Obiya et al.pdf.jpg
  • Journal Article


  • Authors: el Alaoui, AbdelKader Ouatik; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur; Asutay, Mehmet (2018)

  • This study embodies a preliminary endeavour at analysing the impact of leverage on portfolio behaviour, with specific reference to return and volatility, in the European stock markets, using the debt ratio as one of the important benchmarks for Islamic stock screening. Given the focus of Islamic stock screening on the debt ratio, we use data from 320 firms for eight European countries which were classified according to their level of debt and size. For this, the portfolio optimisation based Mean-Variance Efficient Frontier (MVEF), the Sharpe Ratio and the Capital Market Line (CML) were employed. Our findings tend to demonstrate that, under shocks, high leverage worsens the portfolio r...

  • item.jpg
  • Master


  • Authors: Nasir, Abdal (2015)

  • This paper examines the long run relationship between Vietnam stock market and her ASEAN partners like Malaysia, Singapore, Thailand, Indonesia and the Philippines. The paper uses the weekly data from July 2006 till February 2014 and run through an analyzed using time series techniques in order to test for cointegration of Vietnam stock market with ASEAN members. Eagle-Granger, Johansen-Jeselius (JJ), and Vector Error Correction Model (VECM) methods are used in analyzing data. The results obtained from JJ test find at most one cointegration among ASEAN members ... Available in physical copy only (Call Number: t HG 5740.8 A135)

  • doing_well_while_doing_good_the_case_of_islamic_and_sustainability_equity_investing_adam.pdf.jpg
  • Academic Presentation


  • Authors: Ng, Adam Boon Ka; Naeem Azmi, Choudhari Wajahat; Dewandaru, Ginanjar; Nagayev, Ruslan (2016)

  • Sustainability trends present risks and opportunities for companies and various stakeholders. Profits can be derived from doing good: Islamic sustainability equity in vesting offers competitive risk-return profiles at the levels of individual asset and portfolio of global assets particularly during economic expansion, equity bullish and subprime crisis periods. Islamic finance industry should proactively drive main stream sustainability investing.

  • item.jpg
  • Master


  • Authors: Quadri, Syed Adnan (2015)

  • This paper investigates the target capital structure adjustment by Malaysia and Singapore, with a view to determine whether they exhibit similar behaviour. Firms may temporarily diverge from their target capital structure but seek to return optimal capital structure when indications of crisis are seen as well as in the aftermath of a crisis. Firms which are not on their optimum capital structure face high detrimental costs for being in such a position ... Available in physical copy only (Call Number: t HG 4026 Q1)

  • empirical_evidence_risk_shifting_bonds_debt-based_sukuk_obiyathulla.pdf.jpg
  • Journal Article


  • Authors: Hamzah, Siti Raihana; Bacha, Obiyathulla Ismath; Mirakhor, Abbas; Abdul Kader Malim, Nurhafiza (2018)

  • The purpose of this paper is to examine the extent of risk shifting behavior in bonds and sukuk. The examination is significant, as economists and scholars identify risk shifting as the primary cause of the global financial crisis. Yet, the dangers of this debt-financing feature are largely ignored - one needs to only witness the record growth of global debt even after the global financial crisis. To identify the signs of risk shifting existence in the corporations, this paper compares each corporation's operating risk before and after issuing debt. Operating risk or risk of a firm's activities is measured using the volatility of the operating earnings or coefficient variation of earn...