Performance of Islamic Indices: Risk Adjusted Returns of Sharia Compliant Stocks  on Jakarta Islamic Index and Dow Jones Islamic Turkey

Banani, Ade; Hidayatun, Nur Afni

doi:10.25170/jebi.v1i1.18

Cited by 11 publications

(4 citation statements)

References 6 publications

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“…Since Malaysia is part of the emerging market, such a result may be considered. This result contradicts with the finding made by Banani and Hidayatun (2017) where the Islamic indices performance has shown an outperformance and this be illustrated due to the reduction of non-systematic risk and systematic risk.…”

Section: Out Of Sample Portfolio Performance Resultscontrasting

confidence: 93%

Performance of Shariah-Compliant Equity Portfolio Using Model-Based Return and Risk Estimation

2020

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Establishing optimal allocation for different stocks in a portfolio via modern portfolio theory is highly depended on the accuracy of the return and risk estimation. For retail investors, technological advancement has made it possible for them to apply the complex estimation procedure for decision making. Therefore, this study aims to assess the mean-variance Shariah-compliant portfolio performance with model-based return and risk estimation. The methodology adopted is based on the implementation of ARMA and GARCH model, focused on the daily stock prices from year 2011 until 2018. Further, we used one-step ahead forecast for the best ARMA-GARCH model as well as an arithmetic mean and variance estimation to prepare the composition of diversified portfolio weights for top 10 constituent companies listed in FBM Hijrah Shariah (FBMHS) Index. We also measure out of sample performance in a constructed portfolio using Sharpe, Treynor and Jensen’s measures. The result shows that the stock allocation for the model-based portfolio is less diversified as compared to non-model-based portfolio. The composition of the model-based portfolio weight is capable of achieving high annual returns which can compensate for high risk. The out of sample portfolio performance of both techniques is capable to outperform the FBMHS Index.

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Section: Out Of Sample Portfolio Performance Resultscontrasting

confidence: 93%

Performance of Shariah-Compliant Equity Portfolio Using Model-Based Return and Risk Estimation

2020

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“…Most PO studies involving SC firms focus more on their performance vis-à-vis conventional samples in a static manner whilst not allowing dynamic conclusions. These studies include Derbali et al (2017), Banani and Hidayatun (2017), Ramadhan and Nugroho (2014), Rifqi (2016), Albaity and Ahmad (2008), Jahromi (2013) and finally Reddy and Fu (2014). Additionally, these studies are typically conducted in emerging markets such as Malaysia, Indonesia and the Gulf Cooperation Council (GCC) countries.…”

Section: Prior Literaturementioning

confidence: 99%

Portfolio optimisation of Shariah-compliant samples in the USA

Sukor

Halim

2022

JIABR

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Purpose This paper aims to investigate the dynamic portfolio optimisation performance of numerous samples of Shariah-compliant firms in the USA vis-à-vis the overall conventional sample. Design/methodology/approach This paper constructs efficient frontiers and subsequently the capital market line using the ovport set of commands in STATA. From the capital market line, the tangent portfolio is found, and the Sharpe ratio of the tangent portfolio is the primary measurement of the dynamic portfolio optimisation performance of the samples of Shariah-compliant samples in this study. Findings This paper finds that the overall conventional sample will outperform the Shariah-compliant samples in most cases. However, there exists a consistent trend whereby the performance of the overall conventional sample will converge towards the performance of the Shariah-compliant samples (and even be lower at times), as the market approaches a looming crisis suggesting that the Shariah-compliant samples do not experience significant deteriorations in their performance as compared to the conventional sample and that they provide stability during such times. Research limitations/implications This paper assumes no transaction costs, illiquidity, bid-ask spread and non-compliant revenue purification all of which may negatively affect portfolio performance. Practical implications The findings of this paper suggest that Shariah-compliant samples should be included in portfolios during times of crisis because they are less affected by market-wide volatility. Social implications The stability of Shariah-compliant samples reflects the conservativity of the contemporary Shariah stock screening methodologies and the Shariah itself. Originality/value Portfolio optimisation studies on Shariah-compliant samples are usually static in nature and are conducted in selected Muslim countries. This paper studies the dynamic portfolio optimisation in the USA where a liquid Islamic capital market is non-existent.

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“…Selaras dengan teori yang dikemukakan (Banani & Hidayatun, 2017) yang menyebut nilai tukar rupiah yang naik (melemah) membuat investor memilih berinvestasi dalam bentuk dollar dibandingkan dengan saham. Hasil ini diperkuat juga dengan penelitian (Rachman & Mawardi, 2015)yang menyimpulkan bahwa nilai tukar rupiah memiliki pengaruh negatif terhadap kinerja reksa dana.…”

Section: Pengaruh Nilai Tukar Terhadap Kinerja Reksa Dana Sahamunclassified

Analisis Komparatif: Dampak Variabel Ekonomi Makro pada Kinerja Antara Reksa Dana Saham Syariah dan Konvensional di Otoritas Jasa Keuangan

Ridwan

Umar

Hermawan

2022

J. Appl. Islam. Econ. Financ.

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This study aims to compare the performance of Islamic stock mutual funds and conventional stock mutual funds with different operating systems so that can be recommended for investors in choosing the type of mutual fund. This study also aims to determine the effect of macroeconomic factors on the performance of these equity funds. The sample used in this study were 5 investment manager companies that issued Islamic stock mutual fund products and conventional stock mutual funds in the 2010-2019 period and were selected through purposive sampling technique. This type of research is quantitative research. The data used is secondary data obtained from OJK published reports. The results of this study indicate that there is no significant difference between the performance of conventional equity mutual funds and Islamic stock mutual funds. In addition, three independent variables in the study, namely inflation rate, exchange rate, and interest rate have a significant effect on the performance of Islamic equity mutual funds. For conventional equity mutual funds, the results show that the inflation rate and interest rate variables have a significant effect, while the exchange rate variable has a negative but not statistically significant effect on the performance of conventional equity mutual funds.

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Performance of Islamic Indices: Risk Adjusted Returns of Sharia Compliant Stocks on Jakarta Islamic Index and Dow Jones Islamic Turkey

Cited by 11 publications

References 6 publications

Performance of Shariah-Compliant Equity Portfolio Using Model-Based Return and Risk Estimation

Performance of Shariah-Compliant Equity Portfolio Using Model-Based Return and Risk Estimation

Portfolio optimisation of Shariah-compliant samples in the USA

Analisis Komparatif: Dampak Variabel Ekonomi Makro pada Kinerja Antara Reksa Dana Saham Syariah dan Konvensional di Otoritas Jasa Keuangan

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