Browsing by Topic Islamic capital markets

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Showing results 105 to 114 of 151
  • Risk_management_derivatives_and_shariah_compliance_bacha.pdf.jpg
  • Academic Proceeding


  • Authors: Bacha, Obiyathulla Ismath (2013)

  • Despite the impressive growth of Islamic Banking and Finance (IBF), a number of weaknesses remain. The most important of this is perhaps the lack of shariah compliant risk management tools. While the risk sharing philosophy of Islamic Finance requires the acceptance of risk to justify returns, the shariah also requires adherents to avoid unnecessary risk-maysir. The requirement to avoid maysir is in essence a call for the prudent management of risk. Contemporary risk management revolves around financial engineering, the building blocks of which are financial derivatives. Despite the proven efficacy of derivatives in the management of risk in the conventional space, shariah scholars ap...

  • risk-return_characteristics_Islamic_equity_indices_multi-timescales_analysis_mm.pdf.jpg
  • Journal Article


  • Authors: Dewandaru, Ginanjar; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur; Masih, Rumi (2015)

  • This paper is motivated by the heightened interest in investing in Islamic equities. The paper is the first attempt at analysing the risk-return characteristics of Islamic indices at different timescales by applying a relatively new approach in finance known as wavelet analysis. We analyze the Dow Jones indices of 11 countries, mostly emerging markets, and 10 global sectors between 2008 and 2012. We focus on exploring the multi-horizon nature of systemic risk (market beta), average return, volatility, and correlation. We find that the differences in betas between Islamic and conventional indices at most of the timescales are not statistically significant. A few exceptions show equal ...

  • risk_return_profiles_of_islamic_equities_sarkar_mansur_obiyathulla.pdf.jpg
  • Journal Article


  • Authors: Kabir, Sarkar Humayun; Mohammed Masih, Abul Mansur; Bacha, Obiyathulla Ismath (2017)

  • Motivated by the recent phenomenal growth in Islamic finance and the financialization of commodities, this study makes an initial attempt to investigate the risk return profiles of optimized portfolios combining (a) Islamic equities with commodities and (b) conventional equities with commodities during the crises and noncrises periods. The findings tend to indicate that Islamic equity-commodity portfolios provide relatively higher diversification benefits than the conventional equity-commodity portfolios during the 1997 Asian Financial Crisis triggered by the financial sector compared to the 2008 global financial crisis triggered by the real housing sector. The findings further sugges...

  • item.jpg
  • PhD


  • 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 ... Available in physical copy only (Call Number: t HG 4529.5 K11)

  • item.jpg
  • Master


  • 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 ... Available in physical copy only (Call Number: t HG 4551 S527)

  • IFHubEd6_role_islamic_asset_classes_diversified_portfolios_ginanjar.pdf.jpg
  • Newsletter & Bulletin


  • Authors: Dewandaru, Ginanjar (2017)

  • Asset allocation is a central issue for the entire asset management industry in order to achieve the best possible risk-return profile. As the current trend shifts from intra-asset allocation to inter-asset allocation, the variety of asset classes becomes a key driver in determining the overall performance of a diversified portfolio. The rationale is that each asset class conceals its unique dimensions of risk, where a mixture of multiple asset classes may expand an investment opportunity set. This leads global investors to adopt a niche approach in order to achieve positive-sum games. The increasing importance of asset classes has substantially driven innovation in the financial indu...

  • role_Islamic_legal_institutions_transformation_financial_markets_sadr.pdf.jpg
  • Journal Article


  • Authors: Sadr, Seyed Kazem (2013)

  • This article aims to demonstrate the impact of legal institutions and Islamic principles on structure and performance of financial markets. The main impacts include the ban on asset creation based on debt and its prescription according to real value. As a result, money market is omitted from the structure of financial markets and usury including bonds and their derivatives are made forbidden. On the contrary, asset market and capital expand and financial institutions such as banks, stock market, and central bank manage the financial policies instead of creating money and implementing monetary policies.

  • shariah_issues_islamic_capital_markets_sukuk_al.pdf.jpg
  • Journal Article


  • Authors: Lee, Sze Lin; Lahsasna, Ahcene; Ahmed, Rubi (2013)

  • The purpose of this paper is to ascertain the prevailing Shari'ah issues in Islamic capital markets, particularly Sukuk. Common features of conventional bonds are replicated in Sukuk via late penalty payment upon default, trading of debt-based Sukuk, purchase undertaking in equity-based structures and ownership status in asset-based transactions. These features pose Shari'ah concerns and are discussed in the paper from the perspective of current practices and views of scholars by compiling various references that reveal the diversity of the Shari'ah. The paper does not claim to provide solutions to the issues of debate; rather it engages in providing an analysis of these Shari'ah issu...

  • shariah_screening_market_risk_and_contagion_a_multi_countr_analysis_mansur_obiyathulla.pdf.jpg
  • Journal Article


  • Authors: el Alaoui, AbdelKader Ouatik; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur; Asutay, Mehmet (2016)

  • This study investigates the relationship and shock transmission between firm leverage and systematic risk within the Shari'ah stock screening rules among seven European countries with a sample of 689 firms for the period from 2008 Q2 to 2013 Q1. Due to the fact that high leverage augments systematic risk and accentuates the firm's vulnerability to shocks,debt screening is used to examine the sampled portfolios. As it imposes limits on debt,we examined the impact of such an ethical screening and a risk moderating principle on stock volatility, susceptibility to contagion and the implications for portfolio diversification.Using a vector auto regressive dynamic panel of multi-country fra...

  • item.jpg
  • Master


  • Authors: Mohd Rozlan, Ahmad Ridza (2017)

  • The paper aims to study the relationship between selected macroeconomic variables and Malaysia Shariah Index after the adjustment of the screening process. It also attempts to look at how the new screening process impacts the performance of the Shariah index. To achieve these aims, this study used Auto Regressive Distributive Lag (ARDL) to look at the long-run and short-run relationships of the macroeconomic variables towards the FTSE EMAS Shariah Index ... Available in physical copy only (Call Number: t HG 4551 A286)

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 105 to 114 of 151
  • Risk_management_derivatives_and_shariah_compliance_bacha.pdf.jpg
  • Academic Proceeding


  • Authors: Bacha, Obiyathulla Ismath (2013)

  • Despite the impressive growth of Islamic Banking and Finance (IBF), a number of weaknesses remain. The most important of this is perhaps the lack of shariah compliant risk management tools. While the risk sharing philosophy of Islamic Finance requires the acceptance of risk to justify returns, the shariah also requires adherents to avoid unnecessary risk-maysir. The requirement to avoid maysir is in essence a call for the prudent management of risk. Contemporary risk management revolves around financial engineering, the building blocks of which are financial derivatives. Despite the proven efficacy of derivatives in the management of risk in the conventional space, shariah scholars ap...

  • risk-return_characteristics_Islamic_equity_indices_multi-timescales_analysis_mm.pdf.jpg
  • Journal Article


  • Authors: Dewandaru, Ginanjar; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur; Masih, Rumi (2015)

  • This paper is motivated by the heightened interest in investing in Islamic equities. The paper is the first attempt at analysing the risk-return characteristics of Islamic indices at different timescales by applying a relatively new approach in finance known as wavelet analysis. We analyze the Dow Jones indices of 11 countries, mostly emerging markets, and 10 global sectors between 2008 and 2012. We focus on exploring the multi-horizon nature of systemic risk (market beta), average return, volatility, and correlation. We find that the differences in betas between Islamic and conventional indices at most of the timescales are not statistically significant. A few exceptions show equal ...

  • risk_return_profiles_of_islamic_equities_sarkar_mansur_obiyathulla.pdf.jpg
  • Journal Article


  • Authors: Kabir, Sarkar Humayun; Mohammed Masih, Abul Mansur; Bacha, Obiyathulla Ismath (2017)

  • Motivated by the recent phenomenal growth in Islamic finance and the financialization of commodities, this study makes an initial attempt to investigate the risk return profiles of optimized portfolios combining (a) Islamic equities with commodities and (b) conventional equities with commodities during the crises and noncrises periods. The findings tend to indicate that Islamic equity-commodity portfolios provide relatively higher diversification benefits than the conventional equity-commodity portfolios during the 1997 Asian Financial Crisis triggered by the financial sector compared to the 2008 global financial crisis triggered by the real housing sector. The findings further sugges...

  • item.jpg
  • PhD


  • 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 ... Available in physical copy only (Call Number: t HG 4529.5 K11)

  • item.jpg
  • Master


  • 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 ... Available in physical copy only (Call Number: t HG 4551 S527)

  • IFHubEd6_role_islamic_asset_classes_diversified_portfolios_ginanjar.pdf.jpg
  • Newsletter & Bulletin


  • Authors: Dewandaru, Ginanjar (2017)

  • Asset allocation is a central issue for the entire asset management industry in order to achieve the best possible risk-return profile. As the current trend shifts from intra-asset allocation to inter-asset allocation, the variety of asset classes becomes a key driver in determining the overall performance of a diversified portfolio. The rationale is that each asset class conceals its unique dimensions of risk, where a mixture of multiple asset classes may expand an investment opportunity set. This leads global investors to adopt a niche approach in order to achieve positive-sum games. The increasing importance of asset classes has substantially driven innovation in the financial indu...

  • role_Islamic_legal_institutions_transformation_financial_markets_sadr.pdf.jpg
  • Journal Article


  • Authors: Sadr, Seyed Kazem (2013)

  • This article aims to demonstrate the impact of legal institutions and Islamic principles on structure and performance of financial markets. The main impacts include the ban on asset creation based on debt and its prescription according to real value. As a result, money market is omitted from the structure of financial markets and usury including bonds and their derivatives are made forbidden. On the contrary, asset market and capital expand and financial institutions such as banks, stock market, and central bank manage the financial policies instead of creating money and implementing monetary policies.

  • shariah_issues_islamic_capital_markets_sukuk_al.pdf.jpg
  • Journal Article


  • Authors: Lee, Sze Lin; Lahsasna, Ahcene; Ahmed, Rubi (2013)

  • The purpose of this paper is to ascertain the prevailing Shari'ah issues in Islamic capital markets, particularly Sukuk. Common features of conventional bonds are replicated in Sukuk via late penalty payment upon default, trading of debt-based Sukuk, purchase undertaking in equity-based structures and ownership status in asset-based transactions. These features pose Shari'ah concerns and are discussed in the paper from the perspective of current practices and views of scholars by compiling various references that reveal the diversity of the Shari'ah. The paper does not claim to provide solutions to the issues of debate; rather it engages in providing an analysis of these Shari'ah issu...

  • shariah_screening_market_risk_and_contagion_a_multi_countr_analysis_mansur_obiyathulla.pdf.jpg
  • Journal Article


  • Authors: el Alaoui, AbdelKader Ouatik; Bacha, Obiyathulla Ismath; Mohammed Masih, Abul Mansur; Asutay, Mehmet (2016)

  • This study investigates the relationship and shock transmission between firm leverage and systematic risk within the Shari'ah stock screening rules among seven European countries with a sample of 689 firms for the period from 2008 Q2 to 2013 Q1. Due to the fact that high leverage augments systematic risk and accentuates the firm's vulnerability to shocks,debt screening is used to examine the sampled portfolios. As it imposes limits on debt,we examined the impact of such an ethical screening and a risk moderating principle on stock volatility, susceptibility to contagion and the implications for portfolio diversification.Using a vector auto regressive dynamic panel of multi-country fra...

  • item.jpg
  • Master


  • Authors: Mohd Rozlan, Ahmad Ridza (2017)

  • The paper aims to study the relationship between selected macroeconomic variables and Malaysia Shariah Index after the adjustment of the screening process. It also attempts to look at how the new screening process impacts the performance of the Shariah index. To achieve these aims, this study used Auto Regressive Distributive Lag (ARDL) to look at the long-run and short-run relationships of the macroeconomic variables towards the FTSE EMAS Shariah Index ... Available in physical copy only (Call Number: t HG 4551 A286)