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Purpose This study aims to investigate Malaysian stock market efficiency from the view of Sharīʿah-compliant and conventional stocks based on the effectiveness of technical trading strategies. Design/methodology/approach This study uses unconventional trading strategies that mix buy recommendations of Bursa Malaysia analysts with sell signals generated from 10 selected technical trading strategies (simple moving average, moving average envelopes, Bollinger Bands, momentum, commodity channel index, relative strength index, stochastic, Williams percentage range, moving average convergence divergence oscillator and shooting star) that are detected using ChartNexus. The period from 1 January 2013 until 31 December 2015 produces a total sample consists of 1,265 buy recommendations of 125 Sharīʿah-compliant stocks and 400 buy recommendations of conventional stocks. The study period is extended until 31 March 2016 to provide an ample time for detecting the sell signal especially for buy recommendations that are released towards the end of 2015. Findings The resulting Jensen’s alpha show 8 out of 10 strategies are effective in generating abnormal returns in Sharīʿah-compliant samples while only 3 out of 10 strategies are effective in conventional samples. Prominent effectiveness of technical trading strategies in Sharīʿah-compliant stocks implies clear inefficiency in that stock market segment as opposed to those of the conventional stocks. Originality/value The results based on unconventional trading strategies provide new insights of Malaysian stock market efficiency especially in Sharīʿah-compliant and conventional stocks. The paper provides more robust findings on market efficiency as firms’ equity level data were focussed together with analyst’s buy recommendations from Bursa Malaysia.

This study compares the performance of Shariah and conventional mutual funds in emerging markets. The performance of 833 Shariah and conventional funds in 6 emerging markets from 2000 to 2015 was analyzed. We analyzed the Sharpe index, Treynor index, and Jensen’s alpha to compare the performance of Shariah and conventional funds. Jensen's alpha results conform to those of Sharpe’s in indicating that Shariah funds slightly outperform their conventional counterparts particularly in the case of Malaysia, Pakistan, and South Africa. Conventional funds perform exceptionally well in Egypt. Further investigation using the Henriksson–Merton model shows that fund managers’ performance relies nearly completely on their stock selection skills because they have either inferior or ineffective ability in timing the market. This study is the first cross-country attempt to compare the performance of Shariah and conventional funds in emerging markets in terms of risk-adjusted returns, security selectivity, and market timing capability.   Keywords: Emerging markets, Jensen’s alpha, mutual funds, risk-adjusted performances, Shariah mutual funds   Cite as:   Abdul-Rahim, R. Abdul-Rahman, A., & Ling, P-S. (2019). Performance of Shariah versus conventional funds: Lessons from emerging markets.  Journal of Nusantara Studies, 4(2), 193-218. http://dx.doi.org/10.24200/jonus.vol4iss2pp193-218

Sustainable foreign direct investment (SFDI) contributes to the development of the economic, environmental, and social aspects in rational governance practices in Malaysia. Prior studies lack the integration and synthesis of the SFDI attributes from the policymakers and foreign investors’ perceptions. These attributes are measured through the qualitative information and subjective perceptions and need to transform into comparable values. The fuzzy Delphi method is applied to identify the valid set of SFDI attributes and confirms the validity and reliability of these attributes. Moreover, prior studies have not examined the importance and performance of those valid attributes in qualitative information. The fuzzy importance and performance analysis is proposed to assess the attributes’ importance and performance level. The results show that financial, macroeconomic, and institutional policy aspects are among the most important SFDI attributes, together with environmental and social aspects. This study identifies the discrepancies between policymakers and foreign investors and suggests that the financial aspect is the priority of foreign investors that needs to be concentrated for improvements; meanwhile, the institutional and policies and social aspects in performance level are presented as a big contradistinction. The theoretical and policy implications are discussed.

The predictability of asset prices works against the notion of an efficient market where asset prices reflect all available and relevant information. This paper examined the predictability of Bitcoin and 51 other cryptocurrencies that have been classified into the following five categories: Application, Payment, Privacy, Platform, and Utility. Two market efficiency tests (Ljung-Box autocorrelation and Runs tests) were run on the daily returns of the 52 unique cryptocurrencies and the MSCI World index from 28 April 2013 to 30 June 2019. The results showed that Bitcoin was consistently efficient, whereas most of the other cryptocurrencies and even the MSCI World index were not, implying that their prices were predictable. Categorically, Payment altcoins were the most consistent in showing inefficiency. Since altcoins in this category also recorded the third highest risk-adjusted returns, investors with advanced technical trading strategies had a great chance of exploiting the market information to make extremely high abnormal returns.