Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio

Ghaemi Asl, Mahdi; Rashidi, Muhammad Mahdi; Tavakkoli, Hamid Raza; Rezgui, Hichem

doi:10.1016/j.qref.2023.12.010

The Quarterly Review of Economics and Finance

2024

DOI: 10.1016/j.qref.2023.12.010

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Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio

Mahdi Ghaemi Asl,

Muhammad Mahdi Rashidi,

Hamid Raza Tavakkoli

et al.

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Cited by 4 publications

References 122 publications

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Cluster analysis for ethical portfolio optimization problem using fuzzy chance constrained programming

Messaoudi

2024

Environ Econ Policy Stud

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Cluster analysis for ethical portfolio optimization problem using fuzzy chance constrained programming

Messaoudi

2024

Environ Econ Policy Stud

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Trend Analysis of AU Small Finance Bank (AUSFB) and Equitas SFB

Yamijala,

Kothapalli

2024

J INFORM SYSTEMS ENG

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This research employs GARCH models to analyze the return patterns from Equitas Small Finance Bank (SFB) and AUSFB and establish patterns of volatility. Stock returns showed heteroskedasticity throughout the study period was found in this study. The mean returns were positive for both AUSFB and Equitas SFB over the study period. The GARCH model is very good at modeling volatility clustering; hence it was used. Therefore, findings from the model were faithful to real data. In fact, this demonstrated that stock prices have heteroscedasticity, which is in line with the use of the GARCH Model. This study revealed a significant temporal fluctuation characterized by low volatility intervals following high volatility intervals as well as vice versa. The dataset covered daily stock returns for Equitas SFB between November 2020 and May 2023 and AUSFB between July 2017 and May 2023. These results provide risk management insights as well as investment strategies that are practically useful for investors and finance professionals. Other studies can then investigate the use of other econometric models and adopt longer time periods or different market conditions. One potential limitation is its specific time periods studied and the concentration on only two equities.

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The Role of Islamic Social Reporting in Mediating the Board of Directors and Market Performance

Halim,

Chandrarin,

Sumtaky

2024

ФКДПТП

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The goal of this research is to investigate how the influence of the board of commissioners and the board of directors on market performance is mediated by the disclosure of Islamic social reporting. The population under investigation is made up of all the businesses that are listed on the Sharia Stock Index. The researchers employed the proportionate random sampling approach to select 778 organizations out of the minimal sample of 472 companies, as determined by the sample calculation findings using G*power. The structural equation model (SEM) is the analytical technique employed in this study. The research's hypothesis test result suggests that the board of directors and commissioners greatly improves Islamic Social Reporting. The market's performance is significantly enhanced by the commissioners and board of directors. Business performance increases significantly with Islamic Social Reporting. The board of directors and board of commissioners significantly improve market performance through Islamic Social Reporting. This research adds value by offering fresh perspectives on how the Board of Directors and Commissioners' roles can affect a company's performance in the market when ISR principles are applied. The research's practical implication is that businesses can utilize it to inform the development of improved corporate governance and social responsibility policies and strategies.

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Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio

Cited by 4 publications

References 122 publications

Cluster analysis for ethical portfolio optimization problem using fuzzy chance constrained programming

Cluster analysis for ethical portfolio optimization problem using fuzzy chance constrained programming

Trend Analysis of AU Small Finance Bank (AUSFB) and Equitas SFB

The Role of Islamic Social Reporting in Mediating the Board of Directors and Market Performance

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