The market timing ability and return performance of Islamic equities : an empirical study
Joint Authors
Muhammad, Nazir Din
Ashraf, Dawud
Source
Islamic Research and Training Institute
Issue
Vol. 2015, Issue 3-12 (31 Dec. 2015), pp.1-28, 28 p.
Publisher
Islamic Development Bank (IDB) Islamic Research and Training Institute (IRTI)
Publication Date
2015-12-31
Country of Publication
Saudi Arabia
No. of Pages
28
Main Subjects
Financial and Accounting Sciences
Islamic Studies
Topics
Abstract EN
This study investigates the determinants of return performance of Islamic equity indices (IEIs).
Empirical evidence suggests that the selection of securities and rebalancing of funds to comply with Islamic screening standards may result in superior returns for the investing public.
We employ an extended four factor dynamic condition correlation GARCH model to a sample of IEIs from different regions for the period 2002-2013.
The empirical results indicate a statistically significant difference between IEIs from developed markets and those from emerging markets during the sample period.
Findings suggest that Shari’ah screening helps IEIs to select securities of firms that are not financially distressed, are growth oriented and are exhibiting a positive momentum.
We further investigated whether Shari’ah-based screening provides any superior market timing ability over conventional benchmark indices using both parametric and non-parametric approaches.
Market timing results showed that the majority of IEIs have negative market timing ability reflecting the conservative nature of Islamic equity investments whereby Shari’ah discourages investment in equities of highly leveraged corporations.
American Psychological Association (APA)
Muhammad, Nazir Din& Ashraf, Dawud. 2015. The market timing ability and return performance of Islamic equities : an empirical study. Islamic Research and Training Institute،Vol. 2015, no. 3-12, pp.1-28.
https://search.emarefa.net/detail/BIM-668633
Modern Language Association (MLA)
Muhammad, Nazir Din& Ashraf, Dawud. The market timing ability and return performance of Islamic equities : an empirical study. Islamic Research and Training Institute No. 3-12 (2015), pp.1-28.
https://search.emarefa.net/detail/BIM-668633
American Medical Association (AMA)
Muhammad, Nazir Din& Ashraf, Dawud. The market timing ability and return performance of Islamic equities : an empirical study. Islamic Research and Training Institute. 2015. Vol. 2015, no. 3-12, pp.1-28.
https://search.emarefa.net/detail/BIM-668633
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 13-16
Record ID
BIM-668633