Is faith‐based investing rewarding? The case for Malaysian Islamic unit trust funds

Hassan, M. Kabir; Khan, Abu Nahian Faisal; Ngow, Thiti

doi:10.1108/17590811011086732

Cited by 44 publications

(8 citation statements)

References 30 publications

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“…The findings of this study support the works of Hassan et al (2010) Hassan and Girard (2012), Reddy et al (2017), Naqvi et al (2018) which reveal no significant differences in the performance of Islamic and conventional mutual funds.…”

Section: Discussing the Findings With The Literaturesupporting

confidence: 86%

Türki̇ye’deki̇ İslami̇ Ve Konvansi̇yonel Hi̇sse Senedi̇ Yatirim Fonlarinin Performans Anali̇zi̇ Ve Karşilaştirilmasi

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Şekkeli

2020

bmij

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İslami hisse senedi yatırım fonları, portföylerinde yalnızca İslami finans kurallarına uygun hisse senetleri ve kira sertifakaları (sukuk) gibi yatırım araçları bulunduran fonlardır. Bu çalışmanın amacı, Türkiye sermaye piyasalarında işlem gören konvansiyonel ve İslami hisse senedi fonlarının performanslarının karşılaştırılarak, fon yöneticilerinin menkul kıymet seçim ve piyasa zamanlama yeteneklerinin ortaya koyulmasıdır. Çalışmada analizler, fonlara ait Kasım 2015-Ağustos 2020 dönemine ait aylık kapanış değerleri üzerinden hesaplanan aylık getiriler üzerinden gerçekleştirilmiştir. Fonların risk ayarlı performanslarının ölçümünde Sharpe Oranı, Treynor Oranı, M2 Ölçütü ve Bilgi Oranı, fon yöneticilerinin menkul kıymet seçimi yeteneklerinin ölçümünde Jensen Alfa ve piyasa zamanlama yeteneklerinin ölçümünde ise Treynor ve Mazuy (1966) tarafından geliştirilen model kullanılmıştır. Çalışmada, İslami hisse senedi yatırım fonlarının performanslarının, konvansiyonel hisse senedi fonlarına yakın olduğu, aralarında önemli farklılıklar olmadığı sonucuna ulaşılmıştır. Ayrıca İslami hisse senedi fonlarının düşük risk içerdiği, dolayısıyla güvenli bir yatırım aracı oldukları belirlenmiştir.

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Section: Discussing the Findings With The Literaturesupporting

confidence: 86%

Türki̇ye’deki̇ İslami̇ Ve Konvansi̇yonel Hi̇sse Senedi̇ Yatirim Fonlarinin Performans Anali̇zi̇ Ve Karşilaştirilmasi

Güçlü

Şekkeli

2020

bmij

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“…In addition, compliant firms' motives for debt issues and the respective market interpretation are different relative to their non-compliant counterparts suggesting that these firms tend to be more sustainable i.e., less susceptible to fluctuations in equity markets [18]. Thus, such firms are in-line with the objectives of SRI funds [19] and provide opportunities for diversification for fund managers and investors guided by SRI principles [20,21]. The asymmetric response observed partially supports the findings of past studies in developed markets [2].…”

Section: Introductionmentioning

confidence: 99%

Sustainability of Leverage Levels in Response to Shocks in Equity Prices: Islamic Finance as a Socially Responsible Investment

et al. 2019

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This study looks at how firms react to shocks in equity prices based on a classification which arises from social pressures rather than the financial objective of maximizing shareholders’ wealth. In order to meet the objective of the study, a sample of Malaysian firms from the period of 2003 to 2018 was utilized to evaluate the relationship between market and book debt ratios based on a social distinction. The study is based on the theoretical expectation that managers are inclined to adjust book debt ratios to converge with market debt values which arise from changes in equity values over time. We introduce a unique institutional setting into the relationship which is readily observable in the Malaysian capital market given the existence of Shari’ah and non-Shari’ah compliant company classifications on the stock exchange (Bursa Malaysia), as screened by the Securities Commission. The classification forms the basis for distinguishing Socially Responsible Investment options for investors. The findings reveal the existence of asymmetries in how both categories of firms adjust towards shocks in equity prices. The findings document that both compliant and non-compliant firms decrease book debt ratios in line with increases in firms’ equity values. Compliant firms, on the other hand, are more likely to increase book debt ratios during periods of decreases in equity values. Non-compliant firms do not significantly alter book debt ratios during periods of declining equity prices. The findings indicate that whilst firms tend to decrease debt levels in the presence of future growth potential, the response is asymmetric during periods of suppression of share prices. Thus, the screening of compliant versus non-compliant firms allows investors to distinguish sustainable firms in the long run, which further allows diversification when holding socially responsible investment portfolios. Our conclusions have wide reaching implications on a global scale for the development of sustainable capital markets.

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“…In case of Islamic finance, individual efforts to propose an asset pricing model for valuation of Islamic securities have been done, primarily focusing on CAPM (e.g., El-Ashkar, 1995;Hakim, Hamid, Meera, & Kameel, 2016;Hanif, 2011;Hanif, Iqbal, & Shah, 2016;Shaikh, 2010;Tomkins & Karim, 1987). Few studies have covered selected Islamic capital markets through the application of conventional models (e.g., Hakim & Rashidian, 2004;Hassan & Girard, 2010;Hassan, Khan, & Ngow, 2010;Hussin, Muhammad, Abu, & Awang, 2012;Majid & Yusof, 2009;Rana & Akhter, 2015;Yusof, Majid, & Shabri, 2007). However, still concrete evidence lacks for risk factors of various Islamic capital markets, and this study is an effort to fill this gap in the literature.…”

Section: Introductionmentioning

confidence: 99%

Causality among Stock Market and Macroeconomic Factors: A Comparison of Conventional and Islamic Stocks

Hanif

Bhatti

2018

J. Islam. bus. manag.

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A recent development in financial markets is the creation of Sharī'ah compliant stock universes. Sharī'ah compliant stock universe is featured as socially responsible investments, less levered, and more reflective of the real sector. This study is conducted to understand and document the short-run equilibrium among important macroeconomic indicators and Equity indexesIslamic and conventionalin the post-Sharī'ah-screening era in Pakistan. Comparative study of linkages among stock indexes and macroeconomic variables is of great interest to i) identify the important macroeconomic factors; and ii) document whether Sharī'ah screening of stocks has created any difference (in macro risk factors). We have included eight macroeconomic variables to study integration with stocks for 64 Months' period (07/2011-10/2016). Evidence has been obtained by application of correlation, unit root, OLS-regression and Granger causality tests. Findings suggest that both markets Islamic & conventional are integrated with selected macroeconomic indicators. However, evidence lacks the integration of markets themselves. We identify a set of two variables from real economy exports and workers' remittances-linked with both markets, while the third variable is different for Islamic (industrial production) and conventional (Money Supply (MS)) markets. Important monetary variables interest rate and inflation have shown an insignificant association. Movements of Islamic index are in-line with the theory i.e., disassociation from interest and reflection of the real economy. Movements of conventional index cover both real and monetary sectors.

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Is faith‐based investing rewarding? The case for Malaysian Islamic unit trust funds

Cited by 44 publications

References 30 publications

Türki̇ye’deki̇ İslami̇ Ve Konvansi̇yonel Hi̇sse Senedi̇ Yatirim Fonlarinin Performans Anali̇zi̇ Ve Karşilaştirilmasi

Türki̇ye’deki̇ İslami̇ Ve Konvansi̇yonel Hi̇sse Senedi̇ Yatirim Fonlarinin Performans Anali̇zi̇ Ve Karşilaştirilmasi

Sustainability of Leverage Levels in Response to Shocks in Equity Prices: Islamic Finance as a Socially Responsible Investment

Causality among Stock Market and Macroeconomic Factors: A Comparison of Conventional and Islamic Stocks

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