Risk and returns of sharīah compliant stocks on the karachi stock exchange : a CAPM and SCAPM approach
Other Title(s)
المخاطر و العوائد في مقطع عرضي من الأسهم المتوافقة مع الشريعة : اختبار متانة التطبيق و عيوب نموذج التسعير الأصول الرأسمالية (CAPM)
Joint Authors
Hanif, Muhammad
Shah, Zulfiqar Ali
Abd Allah Iqbal
Source
Journal of King Abdulaziz University : Islamic Economics
Issue
Vol. 29, Issue 2 (31 Jul. 2016), pp.37-54, 18 p.
Publisher
King Abdulaziz University Scientific Publishing Center
Publication Date
2016-07-31
Country of Publication
Saudi Arabia
No. of Pages
18
Main Subjects
Financial and Accounting Sciences
Religion
Islamic Studies
Topics
- Banks
- Islamic jurisprudence
- Foundations of Islamic jurisprudence
- Islam
- Markets
- Capitalism
- Price policy
- Financing
- Profits
- Investments
- Financial markets
- Wages
- Risk management
- Stocks
- Stock companies
- Pakistan
- Religious aspects
- Banking
- Cash flow
- Bourse
Abstract EN
This study documents the asset pricing mechanism of Sharīʿah compliant securities listed on the the Karachi Stock Exchange.
We select the CAPM market model to test for the impact in variations of stock returns on a sample of Sharīʿah-compliant companies on ten years monthly data (2001-10).
We first test the basic CAPM (Capital Asset Pricing Model) and its modified form known as the Sharīʿah-compliant asset pricing model (SCAPM).
We also analyse return differences due to size (market capitalization), book to market (B/M) value, price-earning ratio (PER), and cash-flow yield (CFY).
Our results find a strong impact of the market index on stock returns (adj-R2 70%) and confirm the anomalies of size, B/M, CFY, and PER, while SCAPM is slightly better in explaining variations in cross-sectional stock returns.
American Psychological Association (APA)
Hanif, Muhammad& Abd Allah Iqbal& Shah, Zulfiqar Ali. 2016. Risk and returns of sharīah compliant stocks on the karachi stock exchange : a CAPM and SCAPM approach. Journal of King Abdulaziz University : Islamic Economics،Vol. 29, no. 2, pp.37-54.
https://search.emarefa.net/detail/BIM-694528
Modern Language Association (MLA)
Hanif, Muhammad…[et al.]. Risk and returns of sharīah compliant stocks on the karachi stock exchange : a CAPM and SCAPM approach. Journal of King Abdulaziz University : Islamic Economics Vol. 29, no. 2 (Jul. 2016), pp.37-54.
https://search.emarefa.net/detail/BIM-694528
American Medical Association (AMA)
Hanif, Muhammad& Abd Allah Iqbal& Shah, Zulfiqar Ali. Risk and returns of sharīah compliant stocks on the karachi stock exchange : a CAPM and SCAPM approach. Journal of King Abdulaziz University : Islamic Economics. 2016. Vol. 29, no. 2, pp.37-54.
https://search.emarefa.net/detail/BIM-694528
Data Type
Journal Articles
Language
English
Notes
Includes appendix : p. 51-52
Record ID
BIM-694528