Performance of Islamic and conventional stock indices: empirical evidence from an emerging economy

Rana, Ejaz; Akhter, Waheed

doi:10.1186/s40854-015-0016-3

Cited by 33 publications

(35 citation statements)

References 28 publications

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“…As per findings, exchange rate, MS and interest rate were found significant explanatory of the stock returns. Rana and Akhter (2015) documented evidence from Pakistan's market by application of GARCH-M covering the period 2008-13. Results show that determinants were different for the conventional and Islamic market.…”

Section: Selection Of Variablesmentioning

confidence: 99%

“…In case of Islamic finance, individual efforts to propose an asset pricing model for valuation of Islamic securities have been done, primarily focusing on CAPM (e.g., El-Ashkar, 1995;Hakim, Hamid, Meera, & Kameel, 2016;Hanif, 2011;Hanif, Iqbal, & Shah, 2016;Shaikh, 2010;Tomkins & Karim, 1987). Few studies have covered selected Islamic capital markets through the application of conventional models (e.g., Hakim & Rashidian, 2004;Hassan & Girard, 2010;Hassan, Khan, & Ngow, 2010;Hussin, Muhammad, Abu, & Awang, 2012;Majid & Yusof, 2009;Rana & Akhter, 2015;Yusof, Majid, & Shabri, 2007). However, still concrete evidence lacks for risk factors of various Islamic capital markets, and this study is an effort to fill this gap in the literature.…”

Section: Introductionmentioning

confidence: 99%

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Causality among Stock Market and Macroeconomic Factors: A Comparison of Conventional and Islamic Stocks

Hanif

Bhatti

2018

J. Islam. bus. manag.

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A recent development in financial markets is the creation of Sharī'ah compliant stock universes. Sharī'ah compliant stock universe is featured as socially responsible investments, less levered, and more reflective of the real sector. This study is conducted to understand and document the short-run equilibrium among important macroeconomic indicators and Equity indexesIslamic and conventionalin the post-Sharī'ah-screening era in Pakistan. Comparative study of linkages among stock indexes and macroeconomic variables is of great interest to i) identify the important macroeconomic factors; and ii) document whether Sharī'ah screening of stocks has created any difference (in macro risk factors). We have included eight macroeconomic variables to study integration with stocks for 64 Months' period (07/2011-10/2016). Evidence has been obtained by application of correlation, unit root, OLS-regression and Granger causality tests. Findings suggest that both markets Islamic & conventional are integrated with selected macroeconomic indicators. However, evidence lacks the integration of markets themselves. We identify a set of two variables from real economy exports and workers' remittances-linked with both markets, while the third variable is different for Islamic (industrial production) and conventional (Money Supply (MS)) markets. Important monetary variables interest rate and inflation have shown an insignificant association. Movements of Islamic index are in-line with the theory i.e., disassociation from interest and reflection of the real economy. Movements of conventional index cover both real and monetary sectors.

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Section: Selection Of Variablesmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Causality among Stock Market and Macroeconomic Factors: A Comparison of Conventional and Islamic Stocks

Hanif

Bhatti

2018

J. Islam. bus. manag.

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“…They found no statistical difference between the indices, JII less volatile than LQ45. Rana and Akhter (2015) compared the performances of KMI-30 Islamic index with the KSE-100 conventional index of Pakistan capital market and did not find a statistically significant difference between the returns of the indices.…”

Section: Literature Reviewmentioning

confidence: 95%

İslami ve Geleneksel Endeks Performanslarının Karşılaştırılması Üzerine Bir Araştırma

Tükenmez

Şaka

Kizgin

2019

Muhasebe Ve Finansman Dergisi

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Islamic finance has become an important component of the international financial system. Although the very recent experience of Islamic finance was 40 years ago it is growing by 30% since 2000. Despite the growing interest in Islamic finance and Islamic capital markets, there are a few empirical studies that examine the performance of Islamic equity investing in the literature. As can be seen from the literature, the relations between Islamic and conventional indices vary according to the period and country of study. In some studies, it is suggested that Islamic indices have lower risk and volatility, but also lower return than the conventional indices in the periods of decline. In other studies, exact opposite results were obtained. However, when an overall assessment is made, it is widely regarded that Islamic indices are more stable under bear market conditions and more suitable for portfolio diversification. The purpose of this study is to compare the return performances of Islamic and conventional indices. The paper studies the impact of Sharia s creening on the performance of an index. The paper aims to answer the following question: Do Islamic indexes achieve lower returnlevelswhencomparedt otheir counterparts?Accordingtothefindings of this study and in accordance with most of the literature, there is no significant difference between the returns of Islamic and conventional indices. Also when the mean returns are compared between Islamic indices and their counterparts, it's been observed that all of the Islamic indices show higher performance than their counterparts.

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“…It's advantageous because it provides returns (reward) per total risk (volatility) for a security or index (Bodie et al, 2011). Since risk is measured by standard deviation of the security, SR gives a risk and return trade-off (Rana & Akhter, 2015). Therefore, it explains an investor's compensation for assuming additional risk.…”

Section: Sharpe Ratio (Sr)mentioning

confidence: 99%

“…It was developed by Sharpe in 1966 and it's derived from the capital market line (Rana & Akhter, 2015). It's advantageous because it provides returns (reward) per total risk (volatility) for a security or index (Bodie et al, 2011).…”

Section: Sharpe Ratio (Sr)mentioning

confidence: 99%

Portfolio Optimization Modelling with R for Enhancing Decision Making and Prediction in Case of Uganda Securities Exchange

Baganzi¹,

Kim²,

Shin³

2017

JFRM

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Portfolio Optimization involves choosing proportions of assets to be held in a portfolio, so as to make the portfolio better than any other. In this research, we use a software for statistical computing R to analyse the performance of portfolio optimization models which include; Markowitz's Mean-Variance (MV) model, the VaR model, and Konno and Yamazaki's Mean-Absolute Deviation (MAD) model. We start by analysing multi-asset data for the major indexes in the world followed by historical data of 16 constituent shares listed on the Uganda Securities Exchange (USE) covering 6.5 years. The paper then tests the stock performance of the models using R. We found that GREXP bonds dominated the world market as they accounted for more than 60% of the Maximum Diversified Portfolio (MDP). For the USE, we generated more risk measures like volatility, Sharpe Ratio (SR), Risk Parity (RP), Expected Shortfall (ES) or CVaR which we used to assess stock performance. UMEME, NVL, BATU, JHL, DFCU, EBL, EABL, KCB, SBU and CENT were the bestperforming stocks. By understanding the performance of portfolio optimization models in R, Ugandan investors will develop a better view of the latest performance of the stocks listed on the USE. This will help them to decide on which stocks to include in their investment portfolios, thus prevent wrong investment decisions.

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Performance of Islamic and conventional stock indices: empirical evidence from an emerging economy

Cited by 33 publications

References 28 publications

Causality among Stock Market and Macroeconomic Factors: A Comparison of Conventional and Islamic Stocks

Causality among Stock Market and Macroeconomic Factors: A Comparison of Conventional and Islamic Stocks

İslami ve Geleneksel Endeks Performanslarının Karşılaştırılması Üzerine Bir Araştırma

Portfolio Optimization Modelling with R for Enhancing Decision Making and Prediction in Case of Uganda Securities Exchange

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