Does <i>Shariah</i> compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states

Umar, Zaghum; Shahzad, Syed Jawad Hussain; Ferrer, Román; Jareño, Francisco

doi:10.1080/00036846.2018.1458191

Cited by 41 publications

(36 citation statements)

References 40 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…This will allow us to appreciate differences between both stock markets. The analyzed sectors-extracted from the Industry Classification Benchmark (ICB) ( The sample period selected for this study is from January 1996 to December 2015, with a weekly frequency (every Friday), in line with [33][34][35][36], among others. All data are expressed in US dollars to prevent data being affected by the exchange rate.…”

Section: Datamentioning

confidence: 99%

“…All data are expressed in US dollars to prevent data being affected by the exchange rate. In addition, we use weekly instead of daily or monthly data, because weekly data are less contaminated by noise and trading bias, as well as the fact that this frequency offers a number of observations large enough to obtain more consistent results [36].…”

Section: Datamentioning

confidence: 99%

“…To test the robustness of our analysis, this section divides the whole sample period into sub-sample periods to determine which sector portfolios are the most sensitive to the relevant economic and historical events in the last decade, such as the credit crunch of 2007. For this, according to [36], current financial events have been considered and, consequently, the full sample is divided into the following three sub-periods:…”

Section: Analysis By Sub-periodsmentioning

confidence: 99%

See 2 more Smart Citations

Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

González¹,

Jareño²,

Haddouti³

2019

Sustainability

Self Cite

View full text Add to dashboard Cite

This study compares the performance of sector portfolios from Islamic and conventional stock markets, using standard as well as current performance measures for a recent sample period between January 1996 and December 2015. Furthermore, to test the robustness of our analysis and to determine which type of portfolios offer better performance depending on the economic cycle, the full sample period is divided into three sub-sample periods: Before, during and after the recent global financial crisis. The three main outcomes of this research confirm that, first, the sector with the best performance results is Health Care, while the sector with the worst performance results is Financials for the Islamic as well as the conventional stock market. Second, the post-crisis sub-period exhibits the best performance not only in conventional but also in Islamic markets, confirming that portfolio performance depends on the economic stage and highlighting emerging signs of economic recovery. Third, Islamic sector portfolios, as a whole, show better performance than conventional sector portfolios for all performance measures—not just for the full period but also for the three sub-sample periods. The superior risk-adjusted returns of the Islamic sector portfolios, even during the recent global financial crisis, can be justified, among other reasons, by the moderated uncertainty and speculation, as well as the fact that Islamic finance prevents interest rates that have a negative impact on the economy. Thus, Sharia-compliant assets can contribute to improving the sustainability of unattractive performance portfolios during financial crises.

show abstract

Section: Datamentioning

confidence: 99%

Section: Datamentioning

confidence: 99%

Section: Analysis By Sub-periodsmentioning

confidence: 99%

See 1 more Smart Citation

Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

González¹,

Jareño²,

Haddouti³

2019

Sustainability

Self Cite

View full text Add to dashboard Cite

show abstract

“…They found that interest rate surprises affect Islamic bonds less than their conventional counterparts, and Islamic stocks more. Umar et al (2018) analyzed the sensitivity of DJIMI and its conventional counterpart on market interest rate. They found that the sensitivity of DJIMI on market interest rate is not different from conventional index.…”

Section: Literature Reviewmentioning

confidence: 99%

The Effects of Market Interest Rate on Islamic Indices: A Heterogeneous Panel Data Analysis of Participation 30 Index Companies

Ülev¹,

Aydın²

2019

TUJISE

View full text Add to dashboard Cite

The aim of this article is to investigate the influence of market interest rate on Participation 30 index companies. The interest rate of Turkish government bonds traded in the secondary market was used for representing market interest rate. The study uses a panel data of 41 Participation index companies from 2011 to 2017. Using LM bootstrap panel cointegration test, we obtained results showing that the market interest rate affects the stock prices of P30 index companies. This effect is negative for ALBRK, KONYA, BAGFS, KOZAL and PRKME, but positive for all other companies. The least affected company from market interest rate is TTKOM, while the most affected company is LOGO. Moreover, it is noteworthy that 5 of the 10 companies with the lowest long-run coefficient are operating in the construction-raw material industry.

show abstract

“…QR is considered to be a preferred approach, as it can highlight any hidden sensitivities in the CDS spreads as a result of movements in the yield curve. One of the advantages of the QR framework is that unlike an OLS regression, it has robust results for any outliers (Cúrdia and Woodford 2015;Umar et al 2018).…”

Section: Introductionmentioning

confidence: 99%

Are CDS Spreads Sensitive to the Term Structure of the Yield Curve? A Sector-Wise Analysis under Various Market Conditions

Aman

2019

JRFM

View full text Add to dashboard Cite

This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U.S. industrial sectors. Stock returns and the crude oil-based volatility index are used in a quantile regression framework to test the validity of Merton’s model. The results suggest that the long-term factor of the yield curve is a negatively significant determinant of the CDS premia regardless of the sector and market state. The CDS spread of the financial sector exhibits sensitivity to the short-term factor of the yield rate in extreme market states. Basic materials, oil and gas and the utilities sector are responsive to variations in the medium-term factor of the yield rate in upmarket conditions. The empirical findings also suggest a significant inverse relationship between CDS spreads and stock returns.

show abstract

Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states

Cited by 41 publications

References 40 publications

Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets

The Effects of Market Interest Rate on Islamic Indices: A Heterogeneous Panel Data Analysis of Participation 30 Index Companies

Are CDS Spreads Sensitive to the Term Structure of the Yield Curve? A Sector-Wise Analysis under Various Market Conditions

Contact Info

Product

Resources

About