Shari’ah screening, market risk and contagion: A multi-country analysis

Alaoui, Abdelkader O. El; Bacha, Obiyathulla Ismath; Masih, Mansur; Asutay, Mehmet

doi:10.1016/j.jebo.2016.10.023

Cited by 14 publications

(8 citation statements)

References 39 publications

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“…A rational investor always tries to make a balance between his expected return and risk factors. Shariah compliant stock index performance differs from sectorial stock indices which depends on the different investment time horizons (Alaoui et al, 2016). An optimum portfolio diversification strategy helps to ensure the benefits of investing and financing in stock markets.…”

Section: Introductionmentioning

confidence: 99%

The Co-Movement between Shariah Compliant and Sectorial Stock Indexes Performance in Bursa Malaysia

Sahabuddin

Muhammad

hjYahya

et al. 2018

5002

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Islamic financial market is the growing innovation of global financial market which moves together with conventional and sectorial counterpart in many countries. As the fastest growing investment component, Shariah compliant stock index in Bursa Malaysia has picked up positive momentum and attracted more attention to the investors, policy makers, issuers and researchers. The main objective of this study is to investigate the co-movement between Shariah compliant stock and sectorial stocks indexes performance in Bursa Malaysia using a standard time series techniques. For understanding a long run and short run co-movement among the Shariah compliant stock index, composite stock index and sectorial stock indexes, a co-integration approach, Vector Error Correction Model (VECM) have been applied respectively in this study. In addition, Granger causality test have been adopted to determine the lead-lag relationship. The findings show that in the long run, Shariah compliant index stock price and sectorial indexes stock price move together but in short run, speed of adjustment varies among the variables. Ganger causality test shows that there are bidirectional, unidirectional and no causality relationships between Shariah compliant and sectorial indexes.

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Section: Introductionmentioning

confidence: 99%

The Co-Movement between Shariah Compliant and Sectorial Stock Indexes Performance in Bursa Malaysia

Sahabuddin

Muhammad

hjYahya

et al. 2018

5002

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“…Islamic finance works under Shari'ah law which imposes several normative and operational constraints; accordingly, four main tenets bind Islamic financial principles are: prohibition of transactions involving interest (riba); involving uncertainty (gharar) and gambling (maysir) as well as investment in forbidden industries which engage in unethical activities (DeLorenzo, 2000;Obaidullah, 2005;Asutay, 2015;el Alaoui et al, 2016;Ashraf, 2016;Alahouel & Loukil, 2020;Cheong, 2021).…”

Section: Islamic Screening Processmentioning

confidence: 99%

Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis

Asutay

Wang

Avdukić

2021

Asia-Pac Financ Markets

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Islamic indices encompass different fundamental principles to those held by conventional ones, which directs attention onto comparative financial performance. This paper offers a comprehensive performance comparison between Islamic indices and conventional indices, based on four main markets: worldwide, the US, Europe and Asia–Pacific for the period of 2007 and 2017 through financial ratio comparison and also the CAPM-EGARCH model. The main finding shows that Islamic indices yield higher average returns and lower risks during the 2007–2009 and 2013–2017 periods for all four markets, compared with respective conventional markets. During 2009–2013 period, the comparison proves inconclusive, since Islamic indices demonstrate better performance in European and Asia–Pacific markets, while conventional indices operate at an enhanced level within other markets. Overall, Islamic indices outperformed conventional indices during the global financial crisis period (2007–2009) and the latter post-crisis phase (2013–2017), especially in the European and Asia–Pacific markets.

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“…The enforcement of debt screening in the Islamic financial portfolio market has the potential to reduce systematic risk and improve stability in the market. Thus, regulators can redesign a standard and develop measures to reduce excessive debt in the stock exchange market (El Alaoui et al, 2016). These findings have implications for investors' decision-making in avoiding the riskiest portfolios as well as regulators' actions towards enforcing a structure that will reduce systemic risk and increase market stability.…”

Section: Islamic Equity Investmentmentioning

confidence: 99%

A Review of Islamic Investment Literature

Hassan

Aliyu

Paltrinieri

et al. 2018

J of App Econs and Policy

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This paper reviews the empirical literature on the contemporary issues of Islamic investments and highlights the future research directions. The growing literature during the last several years and the penetration of Islamic investments beyond the Muslim majority countries motivate us to review the empirical studies in the area. We therefore focus our literature review on mutual funds, sukuk and equity investments, analysing 81 articles from the most important journals dealing with the topic. The mixed findings in this area help the understanding of professionals not familiar with Islamic investment to identify the trends of the literature for important decisions. Our results have also important financial implications for asset managers willing to include Islamic financial instruments into a well-diversified portfolio.

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Shari’ah screening, market risk and contagion: A multi-country analysis

Cited by 14 publications

References 39 publications

The Co-Movement between Shariah Compliant and Sectorial Stock Indexes Performance in Bursa Malaysia

The Co-Movement between Shariah Compliant and Sectorial Stock Indexes Performance in Bursa Malaysia

Examining the Performance of Islamic and Conventional Stock Indices: A Comparative Analysis

A Review of Islamic Investment Literature

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