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Portfolio Composition-Shari'ah 

Portfolio Composition-Shari'ah 

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Article
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This study examines the effect of Islamic screening criteria on Shari’ah-compliant portfolio selection and performance compared to Socially Responsible Investment (SRI) portfolio. Each portfolio constructed from 15 stocks based on FTSE 100 using data from year 1997. Mean-variance portfolio optimization is employed with some financial ratios added a...

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Context 1
... is optimal portfolio each year for both Shari'ah and SRI portfolios. These portfolios are constructed from 15 assets, which then due to the optimization require- ments, the portfolios consist of smaller number of assets with its percentage. Figure 1 shows assets composition of the Shari'ah portfolio, while figure 2 demonstrates the assets composition of SRI portfolio. Figure 1 shows the different portfolio com- position in every year. In year 2008, WEIR is not included in the portfolio, because the ratio for interest expense and interest income ex- ceeded the threshold. Moreover, SHP is also ex- cluded, because it had debt ratio higher than the required value. As can be seen, for year 2009, WEIR is included in the portfolio again, ...
Context 2
... is optimal portfolio each year for both Shari'ah and SRI portfolios. These portfolios are constructed from 15 assets, which then due to the optimization require- ments, the portfolios consist of smaller number of assets with its percentage. Figure 1 shows assets composition of the Shari'ah portfolio, while figure 2 demonstrates the assets composition of SRI portfolio. Figure 1 shows the different portfolio com- position in every year. In year 2008, WEIR is not included in the portfolio, because the ratio for interest expense and interest income ex- ceeded the threshold. Moreover, SHP is also ex- cluded, because it had debt ratio higher than the required value. As can be seen, for year 2009, WEIR is included in the portfolio again, ...
Context 3
... Shari'ah portfolio has demonstrated a better performance in 2008, 2009 and 2010, because some of the stocks in the portfolio have a good performance on those years. The annual composition of stocks is depicted in figure 1. RIO had an increase in share prices because there was an increase in gold and copper futures prices (Turner, ...

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Citations

... It should, however, be mentioned at this stage that while many of these studies revealed differences in the performance of both market segments, the evidence in these studies is inconclusive. For example, in several countries having different periods of study, a number of studies revealed that Islamic or Sharīʿah stock market indexes performed better compared to their conventional counterparts (Hassan, 2004;Bauer et al., 2006;Al-Khazali et al., 2014;Habib and Islam, 2014;Ho et al., 2014;Jawadi et al., 2014;Asutay and Hendranastiti, 2015;Charles et al., 2015;Dharani et al., 2019;Gonzalez et al., 2019;Tahir and Ibrahim, 2020). Other studies found similar or insignificantly different performance characteristics in both segments Hassan, 2008, 2010;Dharani and Natarajan, 2011;El-Khamlichi et al., 2014a;Trabelsi et al., 2020;Yildiz, 2020). ...
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Purpose This study aims to investigate Malaysian stock market efficiency from the view of Sharīʿah-compliant and conventional stocks based on the effectiveness of technical trading strategies. Design/methodology/approach This study uses unconventional trading strategies that mix buy recommendations of Bursa Malaysia analysts with sell signals generated from 10 selected technical trading strategies (simple moving average, moving average envelopes, Bollinger Bands, momentum, commodity channel index, relative strength index, stochastic, Williams percentage range, moving average convergence divergence oscillator and shooting star) that are detected using ChartNexus. The period from 1 January 2013 until 31 December 2015 produces a total sample consists of 1,265 buy recommendations of 125 Sharīʿah-compliant stocks and 400 buy recommendations of conventional stocks. The study period is extended until 31 March 2016 to provide an ample time for detecting the sell signal especially for buy recommendations that are released towards the end of 2015. Findings The resulting Jensen’s alpha show 8 out of 10 strategies are effective in generating abnormal returns in Sharīʿah-compliant samples while only 3 out of 10 strategies are effective in conventional samples. Prominent effectiveness of technical trading strategies in Sharīʿah-compliant stocks implies clear inefficiency in that stock market segment as opposed to those of the conventional stocks. Originality/value The results based on unconventional trading strategies provide new insights of Malaysian stock market efficiency especially in Sharīʿah-compliant and conventional stocks. The paper provides more robust findings on market efficiency as firms’ equity level data were focussed together with analyst’s buy recommendations from Bursa Malaysia.
... For example, it is prohibited to sell or serve alcoholic drinks in restaurants, to engage in pork-based business (Wan Ismail et al., 2015). Meanwhile, the SRI stocks only have qualitative screening (Hendranastiti and Asutay, 2015). ...
... For example, Siminica et al. (2019) have found that SRI had non-positive relationship with accounting performance meanwhile Gherghina et al. (2015) and François (2011) showed that SRI could improve corporate values. Also, Hendranastiti and Asutay (2015), Klobukowska (2017), Pulungan et al. (2019), Risalvato et al. (2018) showed that Sharia-based stocks could outperform the SRI stocks. Based on the explanation, the first hypothesis is: H 1 Extension Markowitz portfolio based on Sharia and SRI stocks can outperform the market index. ...
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... For example, it is prohibited to sell or serve alcoholic drinks in restaurants, to engage in pork-based business (Wan Ismail et al., 2015). Meanwhile, the SRI stocks only have qualitative screening (Hendranastiti and Asutay, 2015). ...
... For example, Siminica et al. (2019) have found that SRI had non-positive relationship with accounting performance meanwhile Gherghina et al. (2015) and François (2011) showed that SRI could improve corporate values. Also, Hendranastiti and Asutay (2015), Klobukowska (2017), Pulungan et al. (2019), Risalvato et al. (2018) showed that Sharia-based stocks could outperform the SRI stocks. Based on the explanation, the first hypothesis is: H 1 Extension Markowitz portfolio based on Sharia and SRI stocks can outperform the market index. ...
In this paper, we make an initial attempt to compare the asymmetric reaction of Islamic and conventional stock returns to implied volatility -market fear- using Wavelet-based Granger causality, asymmetric quantile regression model (QRM), and NARDL for the sample period from 2008 to 2019. Our findings are three-fold. First, the causal relationship between implied volatility and stock returns is scale-dependent. To make the analysis more robust, we decomposed the daily data using the wavelet filter to consider the potential of different investment horizons. Second, we observe, using QRM, regardless of Islamic or conventional, stock return increases (decreases) following the negative (positive) innovation in the market fear, and the asymmetry is more pronounced at the lowest and highest return regimes. Using NARDL, we find, there is an evidence of asymmetric cointegration and long-run asymmetric relationship. Third, Islamic stock returns tend to be less exposed to the market fear than conventional stock returns across the return regimes at different investment horizons. This relatively lesser sensitivity level of Islamic stock returns can be attributed to their distinct screening features and Islamic markets being more 'decoupled' from the risks facing conventional markets. The results tend to have substantial policy implications for all the stakeholders.
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The purpose of this article is to propose an alternative approach for portfolio optimization combining financial and ethical constraints in one hand, and objective and subjective investor’s preferences in the other hand. This approach intends to support investors in selecting and optimizing financial and social portfolio’s performances. More precisely, we introduce analytic hierarchy process (AHP) to measure the ethical performance (EP) score of each asset considering ethical criteria. For its part, fuzzy multiple criteria decision making (FMCDM) is used to determine the overall financial quality score of assets with respect to key financial criteria i.e., short term return, long term return, and risk. Besides, interactive fuzzy programming approach is applied to support the investor’s decision, considering its subjective preferences. The robustness of our approach is tested through an empirical study involving the case of the Casablanca Stock Exchange (CSE). The results give evidence that the Socially Responsible (SR) Portfolio have performed similar to the conventional one, as no significant differences were found in term of return. However, the SR portfolio allows the investor to achieve his ethical goal, against a slight financial sacrifice.
Conference Paper
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Katılım bankacılığı; İslami prensiplerine uygun olarak faaliyetlerini gerçekleştiren bir bankacılık modelidir. Katılım bankaları ilkelerine göre düzenlenen katılım endeksleri dünya çapında uzun yıllardır var olmasına rağmen ülkemizde 2011 yılından bugüne hızlı bir büyüme göstermiştir. Son dönemlerde öne çıkan bir diğer endeks kurumsal yönetim endeksidir. Gerek katılım endeksi gerekse kurumsal yönetim endeksi BİST’de ki diğer sektör endekslerinden farklı olarak daha homojen olan endekslerdir. Bu açıdan, bu çalışmada Kurumsal Yönetim Endeksi ve İslami prensiplere uygun hisse senetlerinden oluşan katılım 30 Endeksi ile BİST 50 Endeksi’nin 10 Ocak 2011 ile 22 Aralık 2016 tarihleri arasındaki risk ve getiri karakterleri incelenmiştir. Çalışma dönemi üç artan ve dört azalan piyasa dönemi olmak üzere yedi alt döneme ayrılmıştır.