The Classification of Sharia Assets and Performance of Financial Portfolio
The paper investigates the Shariah compliant and conventional portfolios in financial settings of Pakistan during the period 2009-2019 by using Markowitz Minimum-Variance (MMV) framework. Using daily excess returns, we first investigate the impact of Shariah screening criteria on stock returns then...
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| Format: | Article |
| Language: | English |
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İLKE İlim Kültür Eğitim Vakfı
2021-08-01
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| Series: | Türkiye İslam İktisadı Dergisi |
| Subjects: | |
| Online Access: | https://tujise.org/uploads/2024/07/a179.pdf |
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| _version_ | 1849220860349513728 |
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| author | Sarfaraz Ahmed Bhutto Saifullah Shaikh Hussain Amar Qamar Abbas Mangi |
| author_facet | Sarfaraz Ahmed Bhutto Saifullah Shaikh Hussain Amar Qamar Abbas Mangi |
| author_sort | Sarfaraz Ahmed Bhutto |
| collection | DOAJ |
| description | The paper investigates the Shariah compliant and conventional portfolios in financial settings of Pakistan during the period 2009-2019 by using Markowitz Minimum-Variance (MMV) framework. Using daily excess returns, we first investigate the impact of Shariah screening criteria on stock returns then we evaluate the overall risk of Shariah compliant and conventional portfolios. The results reveal negative impact of Shariah screening criteria on stock returns’ cross-section. Further, unconstrained portfolio investment strategy outperforms faithbased investing. Finally, the findings of the study suggest that induction guidelines employed in PSX for companies to be listed in Shariah compliant index needs to be reviewed to practically attain the objectives of Islamic moral economy such as avoiding Gharar (uncertainty) and Maysir (speculation). More importantly formulate a criterion that truly reflects Islamic principles of investing. In addition, more could also be done to educate investors about Shariah compliant stocks and enhance the projection of Shariah compliant index. Secondly, our study also indicates that investors that prefer faith-based investing should be aware of the costs of faith investment in PSX. Investors can encounter additional costs while investing in Shariah compliant stocks. Moreover, these additional costs are driven high risk and low performance of faith portfolios. |
| format | Article |
| id | doaj-art-c0dfd5d88d0a4881b5d2ade764d07b21 |
| institution | Kabale University |
| issn | 2148-3809 |
| language | English |
| publishDate | 2021-08-01 |
| publisher | İLKE İlim Kültür Eğitim Vakfı |
| record_format | Article |
| series | Türkiye İslam İktisadı Dergisi |
| spelling | doaj-art-c0dfd5d88d0a4881b5d2ade764d07b212024-12-02T08:58:13ZengİLKE İlim Kültür Eğitim VakfıTürkiye İslam İktisadı Dergisi2148-38092021-08-0182 51753010.26414/A179The Classification of Sharia Assets and Performance of Financial PortfolioSarfaraz Ahmed Bhutto0https://orcid.org/0000-0002-7660-2310Saifullah Shaikh1https://orcid.org/0000-0001-9011-7285Hussain Amar2https://orcid.org/0000-0002-3670-8671Qamar Abbas Mangi3https://orcid.org/0000-0002-9904-0955 Shah Abdul Latif University Pakistan Shah Abdul Latif UniversityGovernment Islamia Arts & Commerce CollegeShah Abdul Latif University KhairpurThe paper investigates the Shariah compliant and conventional portfolios in financial settings of Pakistan during the period 2009-2019 by using Markowitz Minimum-Variance (MMV) framework. Using daily excess returns, we first investigate the impact of Shariah screening criteria on stock returns then we evaluate the overall risk of Shariah compliant and conventional portfolios. The results reveal negative impact of Shariah screening criteria on stock returns’ cross-section. Further, unconstrained portfolio investment strategy outperforms faithbased investing. Finally, the findings of the study suggest that induction guidelines employed in PSX for companies to be listed in Shariah compliant index needs to be reviewed to practically attain the objectives of Islamic moral economy such as avoiding Gharar (uncertainty) and Maysir (speculation). More importantly formulate a criterion that truly reflects Islamic principles of investing. In addition, more could also be done to educate investors about Shariah compliant stocks and enhance the projection of Shariah compliant index. Secondly, our study also indicates that investors that prefer faith-based investing should be aware of the costs of faith investment in PSX. Investors can encounter additional costs while investing in Shariah compliant stocks. Moreover, these additional costs are driven high risk and low performance of faith portfolios.https://tujise.org/uploads/2024/07/a179.pdfshariah portfolioconventional portfoliomarkowitz frameworkriskshariah screening criteria |
| spellingShingle | Sarfaraz Ahmed Bhutto Saifullah Shaikh Hussain Amar Qamar Abbas Mangi The Classification of Sharia Assets and Performance of Financial Portfolio Türkiye İslam İktisadı Dergisi shariah portfolio conventional portfolio markowitz framework risk shariah screening criteria |
| title | The Classification of Sharia Assets and Performance of Financial Portfolio |
| title_full | The Classification of Sharia Assets and Performance of Financial Portfolio |
| title_fullStr | The Classification of Sharia Assets and Performance of Financial Portfolio |
| title_full_unstemmed | The Classification of Sharia Assets and Performance of Financial Portfolio |
| title_short | The Classification of Sharia Assets and Performance of Financial Portfolio |
| title_sort | classification of sharia assets and performance of financial portfolio |
| topic | shariah portfolio conventional portfolio markowitz framework risk shariah screening criteria |
| url | https://tujise.org/uploads/2024/07/a179.pdf |
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