ScholarLens Back to search
2015•The Journal of InvestingOpen access

Idiosyncratic Risk of Investing in Islamic Capital Market Equities

Rashid Ameer

Open full text 1 citations

Abstract

This article investigates the idiosyncratic risk of investing in Islamic capital market equities. It aims to answer the question: do stocks included (excluded) in the Shari’ah Index have higher (lower) idiosyncratic risks? We used the FTSE Bursa Malaysia EMAS Shari’ah Index (FBMEI) launched in 2007 to investigate whether stocks added and deleted from this Shari’ah-compliant index had higher or lower idiosyncratic risks. The estimation results show that the idiosyncratic risk of stocks added to the FBMEI was high during the bearish market and low during the bullish market. Our estimation results from a rolling regression show that, on average, idiosyncratic risk for the stocks deleted from the FBMEI is relatively higher compared to idiosyncratic risk for the stocks added to the FBMEI. TOPICS:Security analysis and valuation, ESG investing, performance measurement, emerging

About this research paper

What this paper is about

This article investigates the idiosyncratic risk of investing in Islamic capital market equities. It aims to answer the question: do stocks included (excluded) in the Shari’ah Index have higher (lower) idiosyncratic risks? We used the FTSE Bursa Malaysia EMAS Shari’ah Index (FBMEI) launched in 2007 to investigate whether stocks added and deleted from this Shari’ah-compliant index had higher or lower idiosyncratic risks. The estimation results show that the idiosyncratic risk of stocks added to the FBMEI was high during the bearish market and low during the bullish market. Our estimation results from a rolling regression show that, on average, idiosyncratic risk for the stocks deleted from the FBMEI is relatively higher compared to idiosyncratic risk for the stocks added to the FBMEI. TOPICS:Security analysis and valuation, ESG investing, performance measurement, emerging

Why it matters

OpenAlex reports 1 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

This article investigates the idiosyncratic risk of investing in Islamic capital market equities. It aims to answer the question: do stocks included (excluded) in the Shari’ah Index have higher (lower) idiosyncratic risks? We used the FTSE Bursa Malaysia EMAS Shari’ah Index (FBMEI) launched in 2007 to investigate whether stocks added and deleted from this Shari’ah-compliant index had higher or lower idiosyncratic risks. The estimation results show that the idiosyncratic risk of stocks added to the FBMEI was high during the bearish market and low during the bullish market. Our estimation results from a rolling regression show that, on average, idiosyncratic risk for the stocks deleted from the FBMEI is relatively higher compared to idiosyncratic risk for the stocks added to the FBMEI. TOPICS:Security analysis and valuation, ESG investing, performance measurement, emerging

Key concepts: Systematic risk, Index (typography), Market risk, Capital asset pricing model, Business, Financial economics, Economics, Monetary economics

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Idiosyncratic Risk of Investing in Islamic Capital Market Equities — Research Paper | ScholarLens