Performance of global Islamic versus conventional share indices: International evidence

Ho, Catherine S. F.; Rahman, Nurul Afiqah Abd; Yusuf, Noor Hafizha Muhamad; Zamzamin, Zaminor

doi:10.1016/j.pacfin.2013.09.002

Cited by 238 publications

(159 citation statements)

References 12 publications

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“…The bulk of the existing literature is focused on the comparative performance of Islamic and conventional financial assets [1][2][3][4][5][6][7][8] The issue of potential risk transmission between Islamic and conventional financial assets is relatively less explored. This paper contributes toward this strand of literature by analysing the risk transmission mechanism between Islamic and conventional equities.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities

Umar

Suleman

2017

Risks

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This paper analyses the interdependence between Islamic and conventional equities by taking into consideration the asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and conventional equities and the potential contagion effect. We analyse the intra-market and inter-market spillover among Islamic and conventional equities across three major markets: the USA, the United Kingdom and Japan. Our sample period ranges from 1996 to 2015. In addition, we segregate our sample period into three sub-periods covering prior to the 2007 financial crisis, the crisis period and the post-crisis period. We find weak support for the decoupling hypothesis during the post-crisis period.

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Section: Introductionmentioning

confidence: 99%

Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities

Umar

Suleman

2017

Risks

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“…While the quantitative criteria refer to; the financial ratios of the business where it should respect that it does not include any riba or any gharar as mentioned before. The quantitative conditions are measured through specific financial ratios with a specific value of thresholds [41], [42].…”

Section: Sharia Compliance Criteriamentioning

confidence: 99%

International Entrepreneurship from an Islamic (Sharia Compliant) Perspective: “The Opportunities for Western Economies”

Biancone¹,

Radwan²

2017

WJAFE

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“…O arcabouço teórico sobre investimentos financeiros indica que o objetivo de qualquer investidor é maximizar a utilidade alcançada em determinado investimento a partir da análise do risco de mercado (Ho, Rahman, Yusuf, & Zamzamin, 2014 Jensen (1967). Essas metodologias são consideradas adequadas para avaliar binômio risco e retorno e têm sido amplamente utilizadas (Gaspar, Santos, & Rodrigues, 2014).…”

Section: Referencial Teóricounclassified

Análise do desempenho das ações do setor do agronegócio na BM&FBOVESPA

Silveira

Santos

Rodrigues

2017

RAIMED

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O mercado de capitais tem papel chave na economia de um país, através dele é possível financiar investimentos em ativos produtivos e aumentar as oportunidades de alocação de recursos, além de estimular a liquidez, transparência e profissionalização das empresas. Identificar opções de investimento no mercado de capitais, assim como, conduzir estratégias empresariais que criam valor perpassam necessariamente pela análise do desempenho de ativos financeiros. No presente trabalho foi possível analisar o retorno e o risco de 23 empresas do principal setor econômico do Brasil (agronegócio) com ações listadas na BM&FBOVESPA entre os anos de 2010 a 2015. Os métodos utilizados foram os Índices de Sharpe e Treynor, a partir dos resultados de retorno, risco e beta. Foi possível identificar que a Excelsior e a Le Lis Blanc foram as que possuíram maiores retornos atrelados aos maiores riscos. Por outro lado, notou-se que as empresas com menores riscos sistemáticos apresentaram os maiores retornos e, com efeito, os melhores desempenhos.

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Performance of global Islamic versus conventional share indices: International evidence

Cited by 238 publications

References 12 publications

Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities

Asymmetric Return and Volatility Transmission in Conventional and Islamic Equities

International Entrepreneurship from an Islamic (Sharia Compliant) Perspective: “The Opportunities for Western Economies”

Análise do desempenho das ações do setor do agronegócio na BM&FBOVESPA

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