The cost of constituent-rebalancing of Sharıʿah-compliant indexes : lessons for future crises
المؤلف
المصدر
ISRA International Journal of Islamic Finance
العدد
المجلد 14، العدد 3 (31 ديسمبر/كانون الأول 2022)، ص ص. 241-255، 15ص.
الناشر
الأكاديمية العالمية للبحوث الشرعية
تاريخ النشر
2022-12-31
دولة النشر
ماليزيا
عدد الصفحات
15
التخصصات الرئيسية
الملخص EN
Purpose -this study aims to quantify the cost of rebalancing shar_ıʿah-compliant indexes, both economically and statistically.
design/methodology/approach – an empirical approach is employed where the rebalanced shar_ıʿahcompliant index is calculated numerous times with different lags in rebalancing, and the number of stocks and their cost across time are determined in order to identify the optimal rebalancing frequency.
findings – this paper finds that annual shar_ıʿah rebalancing does not lead to significant differences in portfolio returns, even though it does bring some advantages in cumulative wealth starting from the third year onwards and brings about better risk-return characteristics measured in terms of the sharpe ratio.
however, these advantages involve an average annual shifting between 30 and 60% of the portfolio market capitalization, which would be costly at any level of transaction costs.
practical implications – a private investor may be better off holding a constant portfolio and only rebalancing in three-year intervals since this was shown to possess similar portfolio returns and cumulative wealth results.
any advantages of annual rebalancing in terms of risk-return characteristics may be offset by transaction costs of rebalancing.
Shar_ıʿah scholars and practitioners are to determine when the correct time for rebalancing really is, taking into consideration the cost of rebalancing vis-_a-vis the advantages in cumulative wealth and risk-return characteristics of the portfolio.
originality/value – predictions that Islamic indexes will perform well during financial crises, such as the COVID-19 pandemic, miss the cost of frequent rebalancing.
This paper addresses this issue in an empirical manner learning from the previous crisis in 2008.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Badr al-Din, Ahmad. 2022. The cost of constituent-rebalancing of Sharıʿah-compliant indexes : lessons for future crises. ISRA International Journal of Islamic Finance،Vol. 14, no. 3, pp.241-255.
https://search.emarefa.net/detail/BIM-1490678
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Badr al-Din, Ahmad. The cost of constituent-rebalancing of Sharıʿah-compliant indexes : lessons for future crises. ISRA International Journal of Islamic Finance Vol. 14, no. 3 (2022), pp.241-255.
https://search.emarefa.net/detail/BIM-1490678
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Badr al-Din, Ahmad. The cost of constituent-rebalancing of Sharıʿah-compliant indexes : lessons for future crises. ISRA International Journal of Islamic Finance. 2022. Vol. 14, no. 3, pp.241-255.
https://search.emarefa.net/detail/BIM-1490678
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references : p. 253-255
رقم السجل
BIM-1490678
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر