Portfolio Returns of Islamic Indices and Stock Prices in GCC Countries: Empirical Evidence From the ARDL Model

Abstract

This study aimed to analyze four portfolio returns of Islamic indices to determine the potential of attracting investments in the Islamic Stock Price Index of the six Gulf Cooperation Council (GCC) countries. Monthly data were collected from S&P Dow Jones Indices LLC reports covering the period from December 31, 2010 to December 31, 2019. The study applied the autoregressive distributed lag (ARDL) method for estimation. The findings show that the S&P GCC Composite Shariah, the S&P GCC Composite Shariah Dividend, and the S&P Shariah Domestic Total Return Index are positively related in the long run to the Islamic Stock Price Index but S&P GCC Investable Shariah is negatively related to the Islamic Stock Price Index. The error correction model (ECM) results for the short-run ARDL model indicate that the S&P GCC Composite Shariah and the S&P GCC Investable Shariah are positively related to the Islamic Stock Price Index but S&P Shariah Domestic Total Return Index is negatively related to the Islamic Stock Price Index. The main conclusion is that positive growth in the price of Islamic stocks depends on diversifying the Islamic investment portfolio to hedge against unexpected risks.

Value Relevance of Accounting Information: Insights From Iraq

“…In total, the differences in results between stock market values and returns models from testing the three hypotheses might be explained by that (a) the two models sometimes yield inconsistent results [9], (b) stock market values model is more equitable and stock market returns model has less serious problems than stock market values models [10], (c) as [4] concluded, the decline in value relevance related to stock market returns model could be explained by the volatility increasing of stock market returns within the sample period or (d) the source of the inconsistency might be just for the period (2015 -2018) in ISX. Overall, the study conducted a difference in the results between stock market values and stock market returns models in ISX as a developing market as well as those in developed market.…”

“…in spite of that both models depend on the similar principles, their findings are occasionally incompatible [9]. The characteristics of stock market values and stock market returns models are displayed by [10] in a part of the valuation literature to appear the signification of these models in the valuation theories. Theoretically, in case of the welldeveloped valuation theories absence, stock market returns model is in the uppermost step compared with stock market values model [11].…”

“…For these conflicting findings of the value relevance related to the stock market values and returns models, the current study affirms the arguments of [9] in that there are no specific treatments. Therefore, it will be beneficial to gather both stock market values and returns models in one study and obtain additional conclusions [10]. Examining the value relevance of accounting information using the both stock market values and returns models is the quite appropriate action in spite of that may produce unclear results [9].…”

Islamic equity indices: a focus group discussion

“…Generally, the Shariah-based portfolios are viewed as small capital demonstrating growth momentum (Masih et al , 2018). Alshubiri (2021) highlights that in Gulf Cooperation Council countries’ stock markets, price appreciation in Islamic stocks depend upon portfolio diversification.…”

Diversification Potential Among the N-10 Countries: An Empirical Investigation

“…The hedging and diversification strategies may be helpful in dealing with price fluctuations and risk management in case of a portfolio (Alshubiri, 2021). Thus, portfolio diversification plays a vital role in managing risk and return expectations for investors.…”