Risk And Returns Of Shariah Compliant Stocks On The Karachi Stock Exchange A Capm And Scapm Approach
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| Author | : Muhammad Hanif |
| Publisher | : |
| Total Pages | : 18 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
This study documents the asset pricing mechanism of Sharīʻah compliant securities listed on the Karachi Stock Exchange. We select the CAPM market model to test for the impact in variations of stock returns on a sample of Sharīʻah-compliant companies on ten years monthly data (2001-10). We first test the basic CAPM (Capital Asset Pricing Model) and its modified form known as the Sharīʻah-compliant asset pricing model (SCAPM). We also analyze return differences due to size (market capitalization), book to market (B/M) value, price-earning ratio (PER), and cash-flow yield (CFY). Our results find a strong impact of the market index on stock returns (adj-R2 70%) and confirm the anomalies of size, B/M, CFY, and PER, while SCAPM is slightly better in explaining variations in cross-sectional stock returns.
| Author | : Haroon Khan Tareen |
| Publisher | : |
| Total Pages | : 23 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Pakistan stock exchange is one of the growing financial markets consisting Shariah compliant firms and Non-Shariah compliant firms. Shariah compliant stock has limited level of debt as compared to non-compliant stocks. Comparing both stocks can give a clear idea that how these differ in terms of the impact of return on asset and return on equity on capital structure and volatility as well as macro-economic variables. Capital structure can be affected by various factors and it can have a gross effect in crisis, volatility in financial markets during these crises can affect both firms and financial market. Macro-economic indicators are one of the true representation of country's growth, stability, financial growth. These factors are also effecting financial markets in a whole furthermore low level of debt can reduce the risk of and can have a consistent performance. Panel Regression analysis was applied to study their effect on secondary data of both kind of stocks. The study concluded that macro-economic factors have an impact on both stocks except exchange rate because of local trading. Returns for shariah compliant were more positive and significant than compliant because of limitation of level of debt. Furthermore volatility and market return doesn't have major impact directly on capital structure but in crises it seems to have large impact. Furthermore Volatility have positive and significant impact on return on equity and return on asset.
| Author | : Merlind Weber |
| Publisher | : |
| Total Pages | : |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
The Islamic Capital Asset Pricing Model by Selim (2008) provides a theoretical framework for musharakah contracts, a form of profit-and-loss sharing investment, in order to assess the optimal portfolio choice of an Islamic investor. According to this theory, the beta-risk of an Islamic investment must be smaller than one. This hypothesis is tested using data of the Dow Jones Islamic indices of the European, the U.S., and the world market from 1996 to 2010. Applying the Conditional CAPM approach, the risk-return relationship of up- and down-market periods is estimated. The results reveal that the betas of all Islamic indices are smaller than one which is in line with Selim's theory. Additionally, a significant positive risk-return relationship during up-market periods and a negative relationship in down-market periods are observed.
| Author | : Abdelkader Derbali |
| Publisher | : |
| Total Pages | : |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
The main objective of our paper is to propose a novel approach in pricing Islamic financial assets in accordance with shariah, advocated by contemporary investment theories of Markowitz's Mean-Variance Analysis and CAPM. The shariah-compliant Capital Asset Pricing Model that we developed with a few changing's of the traditional Capital Asset Pricing Model is integrating zakat, purification of return and exclusion of short sales. Then, we utilize a sample composed of 10 shariah-compliant public-listed companies in Bursa Malaysia. The empirical results find that the proposed Islamic CAPM is appropriate and applicable in investigating the linkage among risk and return in the Islamic stock market. Our investigation contributes to existing body of knowledge by presenting an algorithm and mathematical modeling of the shariah-compliant CAPM which has been lacking in the literature of Islamic finance.
| Author | : Javed Iqbal |
| Publisher | : |
| Total Pages | : |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
This study investigates the applicability of the CAPM in explaining the cross section of stock return on the Karachi Stock Exchange for the period September 1992 to April 2006. Unlike earlier studies on emerging markets this study is carried out with a broader scope. Firstly, the tests are conducted on individual stocks as well as size sorted portfolios and industry portfolios. Secondly, the test accounts for the intervalling effect by employing three data frequencies namely daily, weekly and monthly data. Thirdly, keeping in view the infrequent trading prevailing in emerging markets in general and Pakistan's equity markets in particular the test is also carried out on beta corrected for thin trading, using the Dimson (1979) procedure. Contrary to earlier studies on emerging markets the premium for beta risk and the skewness have the expected signs. The risk return relationship however appears to be non-linear and is most profound in recent years when the market performance, backed by the high level of liquidity and trading activity, was outstanding.
| Author | : Muhammad Hanif |
| Publisher | : |
| Total Pages | : 8 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Islamic finance has shown tremendous growth in last two decades. By the end of December 2008, in more than 50 countries approximately 300 institutions are operating and they manage funds of US $951 billion. As IFIs are entering into equity market for investment hence guidance in the field of security pricing is required. There is a need to analyze the existing security pricing models within the filter of Sharia compliance and suggest an alternative where required. This study is an attempt to analyze the technical asset pricing models (CAPM, APT and multifactor models) based on behavior of stock market and macroeconomic factors, test the validity through Sharia compliance filter and suggest modification if required. Findings suggest that existing technical asset pricing models are very much applicable under Sharia frame work with a minor modification of risk free return because under Islamic financial system risk free return does not exist. Traditional CAPM is convertible into SCAPM by eliminating risk free return and including inflation charge.
| Author | : Siti Kholifatul Rizkiah |
| Publisher | : |
| Total Pages | : 11 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
The Sharia investment principles give Muslim investors a restriction in picking stocks under their investment portfolio. There are strict rules that must be followed to make a security or a company Sharia-compliant. The argument whether the performance of Sharia-compliant stocks is better compared to the conventional stocks still remains an open question. This paper aims to review and analyze whether Islamic stocks outperform Conventional stocks when the market is doing well (bull periods) and sustain better when the market is in the downturn (bear periods). Our finding shows a statistically insignificant difference in average return, market risk (beta), and total risk (standard deviation) between Islamic and Conventional stocks in both bull and bear periods. However, the data shows a consistent result that Islamic stocks return are higher during both bull and bear periods. Islamic stocks also show higher risk during bear periods proven with higher standard deviation and beta. However, it is less volatile during the bull period as compared to conventional stocks. Furthermore, the investigation of two types of stocks using risk-adjusted returns ratios shows that both stocks behave in a similar way. However, the Islamic stock market performed better than the conventional stock market during the bear 1 and bear 3 (Global financial crisis 2008) shown by higher performance in all three ratios although it is not statistically significant.
| Author | : Dr. Safdar Husain Tahir |
| Publisher | : |
| Total Pages | : |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
The current study looked at the relationship between risk free rate and stock market return. A five year monthly basis time series data from 2003-2007 of T-bills and KSE-100 index were taken for research study. For the analysis of data, simple regression model approach was applied. Stock market return was taken as dependent variable whereas Risk free rates as independent variables. Pearson Correlation Matrix was also obtained through correlation model. The results suggested that risk free rates had no effect on dependant variable. Furthermore, no correlation between risk free rate and stock market return was found. Consequently, a bivirate relationship cannot exist between risk free rate and stock market return, indicating that the stock market return is a function of more variables than risk free rate.
| Author | : Muhammad al-Bashir Muhammad al-Amine |
| Publisher | : BRILL |
| Total Pages | : 482 |
| Release | : 2011-11-25 |
| Genre | : Law |
| ISBN | : 9004202676 |
The book discusses the Suk?k market, its developments, and the legal, Shar?‘ah, risks, and rating issues facing Suk?k. Securitisation as the best way forward for Suk?k structuring is emphasized and issues such as Suk?k listing, Suk?k index and Suk?k fund are highlighted.
| Author | : Syed Adam Alhabshi |
| Publisher | : Walter de Gruyter GmbH & Co KG |
| Total Pages | : 177 |
| Release | : 2021-02-08 |
| Genre | : Business & Economics |
| ISBN | : 3110559749 |
Risk-sharing investment is currently the buzz word in Islamic finance. However, there is an incongruence in applying multilayered and opaque Tijarah contracts for investment purposes. This has contributed to the divergence between Shariah and Common Law and caused tremendous problems and systemic legal risks to Islamic finance. The authors of Shariah Investment Agreement introduce a legal tool in the form of a Shariah Investment Agreement carefully drafted to ensure that it is Shariah-compliant and can be applied in Common Law jurisdictions as well, so as to allow for the execution of risk-sharing investment in Islamic finance. It details the building blocks and key considerations that must be noted when drafting such agreements so the investor and investee will know what to expect when entering into such a contract. Proper implementation of the Shariah Investment Agreement will pave a clear route to a harmonious convergence between Shariah and Common Law and lead to Islamic finance developing further to become a stronger, unstoppable force in the finance industry.
