Is there a diversification “cost” of shari’ah compliance? empirical evidence from Malaysian equities
Islamic equity portfolios work with a smaller investment universe given the filtering of non-Shari’ah compliant stocks. It has been theoretically argued that this culminates in suboptimal portfolio diversification which in turn adversely affects risk-adjusted returns. We employ a number of methods,...
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2014
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| Online Access: | http://irep.iium.edu.my/67449/ http://irep.iium.edu.my/67449/1/67449_Is%20There%20A%20Diversification%20%E2%80%9CCost%E2%80%9D%20of%20Shari%E2%80%99ah%20Compliance.pdf |
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iium-674492019-04-17T04:17:56Z http://irep.iium.edu.my/67449/ Is there a diversification “cost” of shari’ah compliance? empirical evidence from Malaysian equities Mustaffa Kamil, Nazrol Kamil Bacha, Obiyathulla Ismath Masih, Mansur HG3368 Islamic Banking and Finance HG4501 Stocks, investment, speculation Islamic equity portfolios work with a smaller investment universe given the filtering of non-Shari’ah compliant stocks. It has been theoretically argued that this culminates in suboptimal portfolio diversification which in turn adversely affects risk-adjusted returns. We employ a number of methods, namely construction of efficient frontiers, time-varying maximum Sharpe ratios, MGARCH-DCC and analysis of covariance (ANCOVA), to offer empirical evidence that such a conceived portfolio diversification “penalty” is far from a foregone conclusion, at least empirically. Our results show that Islamic portfolios are not invariably handicapped in terms of portfolio diversification. We also explored dimensions which may account for differences in relative investment performance between Islamic and conventional portfolios such as portfolio constraints, length of investment horizon and market conditions. We believe this paper is among the first to apply substantial empirical analysis of the portfolio diversification perspective on Islamic equity investments. 2014 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/67449/1/67449_Is%20There%20A%20Diversification%20%E2%80%9CCost%E2%80%9D%20of%20Shari%E2%80%99ah%20Compliance.pdf Mustaffa Kamil, Nazrol Kamil and Bacha, Obiyathulla Ismath and Masih, Mansur (2014) Is there a diversification “cost” of shari’ah compliance? empirical evidence from Malaysian equities. In: 4th Islamic Banking and Finance Conference 2014, 23rd-24th June 2014, Kuala Lumpur. (Unpublished) |
| repository_type |
Digital Repository |
| institution_category |
Local University |
| institution |
International Islamic University Malaysia |
| building |
IIUM Repository |
| collection |
Online Access |
| language |
English |
| topic |
HG3368 Islamic Banking and Finance HG4501 Stocks, investment, speculation |
| spellingShingle |
HG3368 Islamic Banking and Finance HG4501 Stocks, investment, speculation Mustaffa Kamil, Nazrol Kamil Bacha, Obiyathulla Ismath Masih, Mansur Is there a diversification “cost” of shari’ah compliance? empirical evidence from Malaysian equities |
| description |
Islamic equity portfolios work with a smaller investment universe given the filtering of non-Shari’ah compliant stocks. It has been theoretically argued that this culminates in suboptimal portfolio diversification which in turn adversely affects risk-adjusted returns. We employ a number of methods, namely construction of efficient frontiers, time-varying maximum Sharpe ratios, MGARCH-DCC and analysis of covariance (ANCOVA), to offer empirical evidence that such a conceived portfolio diversification “penalty” is far from a foregone conclusion, at least empirically. Our results show that Islamic portfolios are not invariably handicapped in terms of portfolio diversification. We also explored dimensions which may account for differences in relative investment performance between Islamic and conventional portfolios such as portfolio constraints, length of investment horizon and market conditions. We believe this paper is among the first to apply substantial empirical analysis of the portfolio diversification perspective on Islamic equity investments. |
| format |
Conference or Workshop Item |
| author |
Mustaffa Kamil, Nazrol Kamil Bacha, Obiyathulla Ismath Masih, Mansur |
| author_facet |
Mustaffa Kamil, Nazrol Kamil Bacha, Obiyathulla Ismath Masih, Mansur |
| author_sort |
Mustaffa Kamil, Nazrol Kamil |
| title |
Is there a diversification “cost” of shari’ah compliance?
empirical evidence from Malaysian equities |
| title_short |
Is there a diversification “cost” of shari’ah compliance?
empirical evidence from Malaysian equities |
| title_full |
Is there a diversification “cost” of shari’ah compliance?
empirical evidence from Malaysian equities |
| title_fullStr |
Is there a diversification “cost” of shari’ah compliance?
empirical evidence from Malaysian equities |
| title_full_unstemmed |
Is there a diversification “cost” of shari’ah compliance?
empirical evidence from Malaysian equities |
| title_sort |
is there a diversification “cost” of shari’ah compliance?
empirical evidence from malaysian equities |
| publishDate |
2014 |
| url |
http://irep.iium.edu.my/67449/ http://irep.iium.edu.my/67449/1/67449_Is%20There%20A%20Diversification%20%E2%80%9CCost%E2%80%9D%20of%20Shari%E2%80%99ah%20Compliance.pdf |
| first_indexed |
2023-09-18T21:35:45Z |
| last_indexed |
2023-09-18T21:35:45Z |
| _version_ |
1777412808797847552 |